The reason we have myths and ancient legends about Unicorns, Pegasi, and other Mythical creatures is because like all myths… they have to come from somewhere. Equestria and Earth were once one and the same. Humans and mystical beings living and communicating together in peace and harmony. Then one day something happened, almost overnight if you will. Every trace of these mythical creatures vanished, whole villages and ancient cities just gone. All that remained is what was written. But even with time, that all just about vanished as well. Periodically throughout the ages there would be mention of something be spotted that is not of this earth, but when it was searched for, nothing was ever found.