In "The Crystalling part 1" Celestia admits that Equestria's never seen a naturally born alicorn before. I think that almost confirms they were born unicorns. Also, to the post immediately above that I don't know how to also add in since this sentence is an edit, Celestia and Luna did not found Equestria. We don't know when Equestria was founded, but from some language that's been used in other finales and premieres, specifically S2 and S4 premieres, I believe that Equestria was founded before either of them were born.