Preston North End on 4 January 1999, where which he assisted Emmanuel Petit in scoring one of Arsenal's goals. He would score his last goals for the club's reserve-team scoring once in a 5–0 home thrashing against Crystal Palace on 7 April and scoring a double in a 3–1 home victory against Ipswich Town on April 21. Caballero would take no part in Arsenals 1998–99 UEFA Champions League campaign when, after making 3 appearances in all competitions, he was released on 9 June 1999 and returned to Paraguay to join former club Atlético Tembetary. Sol de América In Round 1 of the Torneo Apertura 2000 Paraguayan Primera División season. Caballado scored Sol de América's only goal in the 25th minute in their 4–1 home loss against Colegiales. In the following round, Caballero scored an 83rd-minute equalizer in a 2–2 away draw against Guaraní. In the following two matches, Caballero would score in a 3–1 home victory against Sportivo Luqueño and in a 2–1 away victory against former club Cerro Porteño, bringing his tally to four goals in four league appearances. He would not score again until two rounds later in Round 7, scoring in the 32nd minute of a 1–0 away victory against Club Universal. In the following week, Caballero scored a double in a 3–0 home victory against Cerro Corá. In Round 11, Caballero scored a double in a 3–3 home draw against Guaraní and would score one goal in the following match, a 2–1 away loss against Sportivo Luqueño, with the goal in the latter match bringing his tally to 10 league goals. Caballero would not score again until Round 16, where he would score a double in a 4–2 home victory against Club Universal on 25 June. On 9 July, he scored his 13th and last goal of the season in a 1–1 home draw against Olimpia Asunción, equalizing in the 70th minute of the match. Caballero was awarded as the league's leading goal scorer with his 13 goals, respectively. Dundee (2000–2005) 2000–01 season 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