 On 15 October 2013, Caballero participated in a 2003–04 UEFA Cup First-Round 1–0 away loss against Perugia which saw Dundee exit the competition.On 25 November 2003, Caballero endured a career break, having made no appearances for Dundee during 2003–04 Scottish Premier League season.This was due to the club's failure to sell on players as anticipated, and insufficient income was raised to fund the large wage bill, under owners Peter & James Marr, resulting in a £23 million debt.