 The son of Spanish parents, he lived in Paraguay for most of his teenage life.On 1 August 1997, Caballero signed with Cerro Porteño in the Paraguayan Primera División, where he joined the likes of Diego Gavilan and Paulo da Silva.Caballero participated in the 1998 Copa Libertadores as Cerro Porteño were drawn with Uruguay's Peñarol in the quarter-final stage.