We've studied their behavior and lineages. We've bred them and fed them and raced them. Almost everybody, theist, atheist, whatever, agrees that horses exist, that they are real. My Tibetan friend had never seen one, but than he'd never seen Bombay or Calcutta either, and he knew those places were real. For him the unicorn was just as real, his conviction being based on the testimony of his peers.
Nobody can have direct personal contact with everything believed to be real.
I for one have never seen a duck-billed platypus, but I believe that such an animal actually exists on the planet. Nowadays most people demand better evidence than our Tibetan friend did before they accept as fact the existence of physical phenomena or creatures they have no personal or direct experience with. Education confers structures, which we use to classify incoming information. As we accumulate evidence we learn to discriminate between the probably true and the palpably ridiculous. We hear reports about advances in microbiology and learn that there are a lot of living creatures swimming around that are too small for us to see.