Unico: Kuroi Kumo Shiroi Hane

The Goddess Venus is jealous of the beautiful human girl Psyche and blames her pet unicorn, Unico, as Psyche's source of good luck that keeps her from the harm of the goddess' cruel intentions. Unico has the amazing power to make anyone he meets happy. Whether it's because of his personality or the powers of his horn, no one knows. Venus has Unico banished, and the West Wind now takes Unico from one place and time to the next. Taken to a heavily polluted city, Unico meets a sickly girl named Chiko who is suffering because of the pollution of a nearby factory that darkens the entire sky. Unico then is determined to cheer her up, cure her, and destroy the nearby factory.
(Source: Anime News Network)