Caballo is a census-designated place in Sierra County, New Mexico, United States.

[5][6] The community is located along New Mexico State Road 187, north and south of Exit 63 on Interstate 25.

Caballo was founded in 1908, when John Gordon and his extended family homesteaded here.

In 1938, the Caballo Dam was constructed, creating a lake which forced residents to re-establish the community to the west.

[4] The area stretches for over five miles and includes an active fire department and many businesses, and residences.