 In 1998, Caballero was loaned from Cerro Porteño to Arsenal for the 1998–99 FA Premier League season, where he made a total of three appearances in all competitions.In 2000, Caballero signed with Scottish Premier League club Dundee, where he was present until 2005.He played in the 2001 UEFA Intertoto Cup and finished as runners-up in the 2002–03 Scottish Cup, after a 1–0 loss against Rangers in the final on 31 May 2003.