How The Goat Came to Be Murugan's Vahana

Sage Narada performed a yagna to appease Lord Siva. Suddenly from the fire sprang a fierce and uncontrollable goat with formidable horns, striking terror into all the gods and shaking the mountains. Narada and other celestials prayed to Muruga to help them. In the meanwhile, the goat reached Brahmaloka. Veerabahu, on Murugan's command, searched for the goat and reached Brahma's abode. He was able to control the goat easily by catching firmly its horns. On Devas' request, Murugan made the goat his mount. The relieved gods then continued with their yagna.

Thiruppugazh which refers to this story from Kanda Purana:

avasiyamun vEndi