It's a translation question!

The KJV and (sometimes) Douay-Rheims English translations of the Bible follow the Vulgate (Jerome's Latin) translation directly, turning its unicornus and rinoceros into unicorn. The Hebrew original, though, is re'em, which most English translations put at "wild ox" or something similar.

Basically, what happened is that Jerome and then the later English translators were faced with a Hebrew word they didn't recognize, that in some of the Hebrew Bible contexts where it is used, is partnered with bulls and ox and similar animals, and frequently mentioned as having a horn or horns. So "re'em" to them was most likely some kind of similar, but horned, creature they didn't know firsthand. And what was a unicornus but that?