Unico

A little unicorn named Unico lives with his mistress Psyche, bringing her happiness and good fortune in return for her unconditional love. The goddess Venus, however, grows jealous of Psyche's legions of admirers and flings Unico across time and space! When he awakens, he's facing down mean buffalo in the American West, with no memory of Psyche or his past life. It's the first of many exciting adventures that will bring Unico face to face with high society in Imperial Russia, characters from fairy tales and Shakespeare, and even an automated factory intent on blotting out the sun.
(Source: eManga)