King Haggard used to be a unicorn
I read about this theory on TV Tropes, that he was a unicorn that became human and forgot he ever was anything else. But that is why he is depressed and unicorns are the only thing that makes him happy, even if he does't know why exactly. I think that is also part of the reason he was able to identify Amalthea for what she actually was.
Does this sound plausible to anyone else?