 Caballero began his coaching career with Sportivo Ameliano in 2012, working with the club's U16, U18 and reserve-teams, he later became a Player-coach whilst playing for the club's first-team in 2014.Whilst playing with Arsenal's reserve-team, Caballero was described as "making very good runs which create space for the other forwards" and that the squad looked "infinitely more dangerous" when he was on the field.In May 2015, Caballero announced that was running for election as a city councilor in Asunción.