In the Europa League, Caicedo made his debut in the Play-off round as Lokomotiv Moscow beat Spartak Trnava 3–1 on aggregate on 25 August 2011. On 20 October 2011, Caicedo scored his first Europa League goal in a 3–1 win over AEK Athens on a Group Stage. On 16 February 2012 in the Round of 32 of the Europa League, Caicedo scored a winning goal on a 71st minutes against Athletic Bilbao in a 2–1 win of the first leg of Round of 32 of the Europa League. Caicedo also provided an assist for Denis Glushakov to score a penalty on a 61st minutes after Caicedo was fouled in the penalty box. In the second leg of Round of 32 of the Europa League, Caicedo played as Lokomotiv Moscow were eliminated from the Europa League after Athletic Bilbao beat Lokomotiv Moscow 1–0, winning on the away goals rule.