... is an antelope. But in the words of Wikipedia, "The term antelope is used to refer to many species of even–toed ruminant indigenous to various regions in Africa and Eurasia. Antelope comprise a wastebasket taxon (miscellaneous group) within the family Bovidae ... "
In other words: the antelopes are not a family; nor do they comprise a genus, or an order, or any of the familiar levels of grouping that we're more or less familiar with. The family that the gnu (or wildebeeste) belongs to is the Bovidae – which, by the way, includes cattle, sheep, goats, buffalo and bison; but it doesn't have a common or English name. Similarly the antelopes, as a "miscellaneous group" (or "wastebasket taxon"), don't have a collective scientific name.
The upshot of all this, in quizzing terms, is that (IMHO) if asking what family the gnu belongs to, the correct answer is "Bovidae", but it would be a strict question asker who didn't allow "antelope".
Wikipedia goes on to explain that the word 'antelope' comes, via Latin and French, from the ancient Greek name for "a fabulous animal [that haunted] the banks of the Euphrates, very savage, hard to catch and having long, saw–like horns capable of cutting down trees." The Greek word may be derived from the words for flower and eye, in reference to the beauty of its eyes with their long lashes. Or that may just be later folk etymology.
© Haydn Thompson 2021