Caballero left the club in 2005, having scored 21 goals in 124 league appearances, joining Club Olimpia of the Paraguayan Primera Division.
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During the 2002–03 Scottish Cup, Dundee went on to qualify for the final of the competition, where they were defeated 1–0 against Rangers on 31 May 2003 as Caballero played a full 90-minutes of the match.
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He also joined an elite category of players, such as Carlos Gamarra, Pablo Zeballos and Fredy Bareiro, to have played for both Cerro Porteño and Club Olimpia in the Paraguayan Primera Division.
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After a brief return to Paraguay with Sol de América, Caballero signed with Scottish Premier League club Dundee F.C. from 2000 to 2005, with whom he played for in the 2001 UEFA Intertoto Cup and finished as runners-up in the 2002–03 Scottish Cup, after a 1–0 loss against Rangers F.C. in the final on 31 May 2003.
Fabian Nicieza | Erico Basilio Fabian | Lara Fabian | Fabian Society | Fabian | Steve Caballero | Stephen Fabian | Pedro Juan Caballero, Paraguay | Pedro Juan Caballero | Fabian Bruskewitz | Fabian Andre | Jose Caballero | Flavio Caballero | Fabian Thylmann | Fabian Heimpel | Fabian Forte | Fabian (entertainer) | Fabián de la Rosa | Eugenio Caballero | Mauro Caballero | Fabian Ver | Fabian Tassano | Fabian Ribauw | Fabian Marcaccio | Fabian Cortez | En Toute Intimité (Lara Fabian album) | Don Caballero | Caballero | San Fabián | Raymond Caballero |
In 2003, due to the club's failure to sell on players as anticipated, insufficient income was raised to fund the large wage bill, under owners Peter & James Marr, resulting in a £23 m debt, they were forced to go into administration with many players such as Fabian Caballero, Craig Burley and Georgian captain Giorgi Nemsadze leaving the club in 2005.