Anything imaginary is not real: it only exists in someone's head. We hate to ruin your day, but unicorns are imaginary.
Our imagination allows us to think of anything we want, and things that only exist in our minds are imaginary. Many children have imaginary friends: people they talk to who aren't real. Mythological beings like dragons, Zeus, and Thor are imaginary. A fantasy about marrying a movie star is probably imaginary, because that isn't likely to happen.