Nopony seriously believes in the sea-ponies. They're myth and legend, just stories and fairy tales to entertain foals.
Except Applejack. Applejack believes.

She believes she saw a sea-pony when she was a filly. She told everypony and they made fun of her. Over time even she began to wonder if it was just a foal's daydream.
Then one day Applebloom comes home wearing a strange necklace she found by the river, a small white scallop shell.

It convinces Applejack that sea-ponies are real and she sets out on a personal quest to find the sea-ponies.