The Unicorn is the protagonist of the story. When secretly following two hunters within her forest, she overhears them say that all the unicorns of the world may be gone, save her. Concerned that she has not seen any of her own kind for quite some time, she decides to leave her home and the safety of her enchanted woods in search of her kind. Along the way she learns from a talkative butterfly that a creature called The Red Bull may have driven her kind to the ends of the earth. When she first encounters the Red Bull, Schmendrick the magician manages to inadvertently change the Unicorn into a human female to confuse the Red Bull and force its withdrawal. Schmendrick calls her "Lady Amalthea" so as not to arouse King Haggard's suspicions, but he soon grows suspicious of Lady Amlthea becaues due to her eyes never showing his reflection in them, but rather, shows green leaves and fox cubs and images of the forest from whence she came. Peter Beagle notes that he took the name "Amalthea" from a Greek deity with the same name.
The Unicorn desires little else but to find the rest of her kind. When she learns they may have been driven to the ends of the earth by the Red Bull, she sets out to free them.
The Unicorn makes several companions upon her journey. Schmendrick the Magician is the first, whom she met while a captive of the witch Mommy Fortuna. After he sets her free she offers him a boon in return, for which he asks, "Take me with you." While the Unicorn is reluctant at first, having never traveled with a mortal before, she agrees. Schmendrick works to try and protect the Unicorn and her human form throughout their journey, and while their relationship becomes strained towards the end, it is clear he cares deeply for her and for the fate of her quest.
The second companion the Unicorn gains is the indomitable Molly Grue, the common-law wife of outlaw Captain Culley and his band of merry men. Molly Grue followed Schmendrick after he escaped Culley's camp, and upon seeing and recognizing the Unicorn, informs them that she will be accompanying them on their quest. Seemingly harsh and hardened by the disappointments of her life, Molly becomes tender and gentle when dealing with the Unicorn, and acts as her confidante during times of fear and distress when the Unicorn is in human form.
Other positive encounters the Unicorn has throughout the story, albeit briefly, are with a talking butterfly and the animals she frees from Mommy Fortuna's sideshow.
The most important relationships the Unicorn has in the story are those with Schmendrick, Molly Grue, and the Prince Lir, the adopted son of King Haggard. While in human form the Unicorn and her companions take refuge in King Haggard's castle in hopes of finding where the other unicorns may have gone. Prince Lir immediately becomes enamored with the "Lady Amalthea," but the Unicorn shows him no interest in return, and even acts cold and cruel to him, trying to distance herself from him in whatever way she can. However, as she begins to forget her true self and become more human, Prince Lir's courting gradually wins her over, and the two fall deeply in love with one another. When Lir learns of her true form, he states that it does not change how he feels for her, and that he loves her regardless. This prompts the Unicorn to state that she will "go no further" in her quest. Worried that she will no longer love the prince once she is changed back into her true form, she begs Schmendrick to leave her be, as she desires to remain human and grow old and die with the prince. However, surprisingly enough, Prince Lir disapproves. He informs her that, as a hero, he knows the proper order of things such as quests, and believes that they cannot simply go unfinished and abandoned; that unicorns cannot go unrescued forever, and that prophecies cannot remain unfulfilled, to rot like unpicked fruit. Despite the fact that Prince Lir clearly desires nothing more in the world than for the Unicorn to give up her quest to stay with him forever, he gently encourages her to finish what she had set out to accomplish from the every beginning.
When the Red Bull appears, prince Lir stands between the Bull and the Unicorn as a shield, and during which Schmendrick manages to change her back into her true form. The Unicorn flees, with the Bull in pursuit, and it is feared that she will be driven into the sea with the rest of her kind, as her heart fails to have the courage to stand against the Bull. Prince Lir throws himself between them once again, and the Red Bull kills him without a thought. This enrages the Unicorn, who turns and attacks the Bull, driving him into the sea, which frees the rest of the unicorns trapped there by their fear of the Bull. On the beach, the Unicorn stands over Lir's body for a time, before reviving him with a touch of her magic horn. She touches him once more with her horn, over his hears, stating, "I remember you. I remember." Before he can respond, she turns and flees, leaving them all behind as she disappears over the ruins of Haggard's castle.
Afterwards, the Unicorn appears to Schmendrick, Molly Grue, and Lir one more time. She and Schmendrick spoke of their quests, and where they will go, and the Unicorn admits she does not think she can return home, as she has been mortal, and some part of her remains mortal still. She no longer feels she has a place in the world as a unicorn, as she is different from the other unicorns since she has felt human love, fear, and regret. Molly Grue refuses to tell what the Unicorn said to her, though it is implied it has something to do with her feelings for Schmendrick. Prince Lir says, with anger and pain, that she "said nothing" to him; she stood nearby, and she looked at him, and she never said a word. Schmendrick tries to comfort the Prince, stating that the second time the Unicorn touched him with her horn on the beach it was not to bring him back to life, but for nothing more than the sake of touching him. As an immortal creature, the Unicorn would remember his heart and his feelings, and love him until the end of time.
The Unicorn faces danger from several characters throughout the story, who either try to capture her, kill her, or prevent her and her companions from fulfilling their quests.
Mommy Fortuna is the first major enemy character the Unicorn encounters. An old witch who spends her days unhappily running a shideshow carnival, she captures the Unicorn to use as one of her displays.
Rukh, Mommy Fortuna's carnival barker. He assists in keeping the Unicorn captive, and even tries to kill Schmendrick the Magician with his bare hands upon discovering that Schmendrick set the Unicorn free.
The Harpy Celaeno, another one of Mommy Fortuna's captured creatures. An immortal and mythological being, this creates a sort of kinship between the harpy and the Unicorn, despite the fact that Celaeno is vicious, savage, and ready to take revenge on all who helped keep her captive. While her murderous rampage is quickly focused upon Mommy Fortuna and Rukh once she is freed, it does not stop her from attacking the Unicorn the moment she breaks her restraints as well.
Drinn, one of the leaders of the town of Hagsgate, and a man known for his love of money (and his money's love in return.) Fearing that Schmendrick and Molly Grue may fulfill an age-old curse laid upon their town by bringing Haggard to ruin, Drinn attempts to have the Unicorn and her companions slain before they can reach Haggard's castle.
The Red Bull, a monstrous creature whose origin is not fully known and whose purpose is mostly left up to legends and speculations. Bid by King Haggard to round up all the Unicorns in the world and imprison them in the sea, the Red Bull hunts the Unicorn relentlessly. Older and more powerful than the Unicorn, the Red Bull carelessly tramples and destroys everything in its path in order to capture its prize.
King Haggard, the unhappy king ruling over Hagsgate and the surrounding lands. Old, cunning, and fierce, he knows no joy in life and possesses no fear, making him an able master of the Red Bull. The first time he ever feels happiness is upon catching sight of two unicorns. Filled with unending desire and greed for the creatures, he orders the Red Bull to round up all the unicorns of the world and drive them into the seas surrounding his castle, so that he may possess them and watch over them all forever. While the Unicorn's human form does deceive him for a time, (mainly because he believes Schmendrick too incompetent a magician to ever manage such a feat as changing an immortal creature into a mortal one) he begins to grow suspicious the more time he spends around Lady Amalthea.