How to use a C++ dll in Unity3D?

The problem is that the DLL is not being found when the p/invoke runtime code calls LoadLibrary(YourNativeDllName).

You could resolve this by making sure that your DLL is on the DLL search path at the point where the first p/invoke call to it is made. For example by calling SetDllDirectory.

The solution that I personally prefer is for your managed code to p/invoke a call to LoadLibrary passing the full absolute path to the native DLL. That way when the subsequent p/invoke induced call to LoadLibrary(YourNativeDllName) is make, your native DLL is already in the process and so will be used.

internal static class NativeMethods
{
    [DllImport("kernel32", SetLastError = true, CharSet = CharSet.Unicode)]
    internal static extern IntPtr LoadLibrary(
        string lpFileName
    );
}

And then somewhere in your code:

private static IntPtr lib;

....

public static void LoadNativeDll(string FileName)
{
    if (lib != IntPtr.Zero)
    {
        return;
    }

    lib = NativeMethods.LoadLibrary(FileName);
    if (lib == IntPtr.Zero)
    {
        throw new Win32Exception();
    }
}

Just make sure that you call LoadNativeDll passing the full path to the native library, before you call any of the p/invokes to that native library.