Caballo Lake a rest stop during their travels, and eagles are often seen in the area. Caballo Lake is named for the Caballo Mountains that border the lake to the northeast, east, and southeast, in which wild horses roamed; Caballo means "horse" in Spanish. The upper area of the lake is very shallow and in recent years has been blocked from the lower, deeper end of the lake. The water has a slightly brownish hue from a distance, due to the shallow waters (usually about at the deepest point). The beaches of Caballo are rocky when compared to Elephant Butte Reservoir, but
Caballo, New Mexico Park. Caballo, New Mexico Caballo is a census-designated place in Sierra County, New Mexico, United States. Its population was 112 as of the 2010 census. Caballo has a post office with ZIP code 87931. The community is located along New Mexico State Road 187 north and south of Exit 63 on Interstate 25. Caballo is located at . According to the U.S. Census Bureau, the community has an area of , all of it land. This is incorrect. The area stretches for over 5 miles and includes and active fire department and many businesses, and residences. It borders Caballo Lake