The Caucasus /ˈkɔːkəsəs/ or Caucasia /kɔːˈkeɪʒə/ is a region at the border of Europe and Asia, situated between the Black and the Caspian seas.he Caucasus /ˈkɔːkəsəs/ or Caucasia /kɔːˈkeɪʒə/ is a region at the border of Europe and Asia, situated between the Black and the Caspian seas.