Amaltheia was a goat, thrown by Zeus's mom Rhea into the same cave where Zeus was hidden as Zeus's father was big on eating his kids, for whatever reason. Luckily, she had chosen a female goat so that Zeus could be fed milk instead of dying from starvation. An adult Zeus would never admit to drinking goat's milk as a child; when asked about it, he would always respond, "Baaaaaaah."
At some point, little Zeus managed to break a horn from Amaltheia, creating the first unicorn. Rather than sending out for some glue from a 7-11, a remorseful Zeus took the broken horn and made it into the well-known cornucopia, the horn of plenty. Later on, Zeus turned Amaltheia into a constellation known as Frank Capra. This has insured that every time a bell rings, a goat gets its wings and gets changed into a bunch of stars.