The horned animal may represent a male power figure in your life, or, if the horn is nonsensical, it may be a displacement of another person's power (or your perception of unearned power that is being wielded by another). The goal is to discern your feelings about the animal and whether you see any relationship between the animal and individuals in your waking life.
If the horned animal is a nonsense creation, such as a horned dog, it may indicate sexual tension in a relationship. Do you feel as though someone close to you has mixed motives for being in a relationship with you? Another scenario is feeling threatened by another's power to impale you.
You may sense this as being a sort of sexual-penetration anxiety, but the general indication of power and intimidation is more satisfactory.