The Last Unicorn weaves together several themes, such as the decline of magic, the limits of perception, the quest to rescue one's own kind, and the struggle to preserve one's identity. Yet, the overarching theme that connects them all is the appreciation of transient beauty. The people of Hagsgate, cursed to prosper until King Haggard's downfall, pose a question to Schmendrick: "How can we take pleasure in our prosperity when we know it must end, and that one of us will bring about its end? Each day increases our wealth but also brings us closer to our demise. Magician, for fifty years, we have lived sparingly, avoided forming attachments, and cut ties with habits to prepare ourselves for the inevitable. We have found no joy in our riches—or in anything else—because joy is merely another thing to lose." Hagsgate's response to their predicament underscores our harmful inclination to "avoid attachments" to anything or anyone we fear might be lost.

In the latter part of the narrative, Schmendrick changes the unicorn into a woman, whom he names Amalthea. After undergoing this transformation, she ponders: "How can anything destined to die be real? How can it be genuinely beautiful?" Schmendrick responds: "I know something that a unicorn cannot understand. Anything that can die is beautiful—more beautiful than a unicorn, who is immortal and the most beautiful being in existence." Through this transformation, the unicorn learns to love a mortal, and this newfound love empowers her to defeat the Red Bull, freeing the captive unicorns and liberating her species.