The club name derived from Caspian Sea (Kazakh: Каспий теңізі), on whose eastern shore Aktau is located.

Caspiy returned to the Kazakhstan Premier League for the first time in 19 seasons in 2020, with head coach Srdjan Blagojevic guiding them to a 10th-place finish.

The following season, 2021, Blagojevic sealed an 8th-place finish before leaving to join Astana, with Nikolay Kostov being appointed as his replacement on 31 December 2021.

[1][2] On April 17, 2023, a Macedonian specialist, Igor Angelovski, was announced as the new head coach.

Note: Flags indicate national team as defined under FIFA eligibility rules; some limited exceptions apply.