 On 1 July 2000, Caballero signed with Dundee for the 2000–01 Scottish Premier League season, being issued with the number #7.Caballero initially loan the club on loan but Dundee eventually signed him permanently.There, he was under the guidance of Italian coach Ivano Bonetti, and would also join Argentine footballers Juan Sara, Luis Alberto Carranza, Walter del Río, Claudio Caniggia and Pascual Garrido.