 Born in Montevideo, Caballero moved to Argentina at early age and graduated from Nueva Chicago's youth setup.He made his senior debut on 25 May 2012, starting in a 1–1 Primera B Metropolitana home draw against Sarmiento; it was his only appearance of the campaign, which ended in promotion.On 8 October 2012 Caballero made his professional debut, coming on as a second-half substitute for Agustín Farías in a 1–1 draw at Huracán for the Primera B Nacional championship.