Caballero scored Dundee's 2–1 League Cup away defeat against Ross Country on 9 October. Three weeks later, Caballero scored in a 3–1 home victory against Motherwell on 30 October. His next goal would not arrive until 13 February, where he scored in Dundee's 2–2 home draw against Dunfermline. Caballero ended the season scoring two consecutive goals in the last two fixtures. Scoring once in a 2–2 away draw against Hibernian on 27 April, and scoring another goal in a 2–1 away loss against Motherwell on 12 May. Dundee made it to the Fourth round of the 2001–02 Scottish Cup, losing to Partick Thistle. Dundee also made it to the quarter-final stages of the 2001–02 Scottish League Cup, losing to Hibernian. Caballero concluded the season scoring 8 goals in 39 appearances in all competitions as Dundee concluded the season in 9th position, with 44 points. 2002–03 season On 3 August, Caballero scored in his first appearance of the 2002–03 season, a 65th-minute equalizer in 1–1 home draw against Hearts. Three weeks later, he scored his second goal in a 2–1 home victory against Hibernian on 24 August. In the second-round of the League Cup, Caballero scored in Dundee's 3–1 victory against Queen of the South on 25 September. Caballero scored a 90th minute winning goal in a 2–1 home victory against Kilmarnock on 5 October. Dundee were eliminated in the third-round of the League Cup after a 1–0 defeat against Partick Thistle on 22 October. On 23 November, Caballero scored for the first time in the Dundee derby, a double, at Dens Park, in a 3–2 victory. He scored the first two goals of the match, in the 11th and 30th minute. On 15 March, Caballero scored in a 3–3 away draw against Aberdeen. In Caballero's second last league match of the season, he scored a first-half double in a 2–2 home draw against Rangers on 4 May. In the 2002–03 Scottish Cup, Dundee commenced in the third-round, getting past the likes of Partick Thistle (2–0), Aberdeen (2–0), Falkirk (1–1, a replay was played on 9 April where Caballero scored in the 44th minute of Dundee's 4–1 victory) and Inverness CT (1–0) in order to make the final. On 31 May, Dundee were defeated 1–0 against Rangers in the final, as Caballero played a full 90-minutes of the match. Dundee concluded the season in 6th place, with 44 points, and qualified