[9] Nevertheless, it was also known that the end of the season, Everton and Juventus had shown interest in the player, with Milan even said to have failed with their offer during the summer break.

Winning both matches in the qualification round against SV Mattersburg and both matches in the play-off round against Sarajevo, they team advanced to the group stage, which they ended undefeated in second position, after playing 1–0 at home against Stade Rennes, 0–0 away against Dinamo Zagreb, 1–0 at home against Brann and 1–1 away against Hamburger SV, to continue the knockout stage.

Caicedo scored his first goal for City the following season in a UEFA Cup group stage loss against Racing de Santander.

Caicedo scored his sixth goal of the season for the club in the UEFA Cup quarter-finals against Hamburger SV on 16 April 2009.

[19] Caicedo impressed many Manchester City fans that season with his strong performances as a single striker with the ability to hold up the ball in key areas and shrug off defenders.

[21] At the start of the 2009–10 season, Caicedo was tipped to leave City in order to get more playing time, especially after the club signed fellow forwards Roque Santa Cruz, Emmanuel Adebayor, and Carlos Tevez.

On 23 July 2009, Sporting Clube de Portugal and Manchester City reached an agreement over an initial one-year loan with an option of a permanent deal,[22] which would allow him to be part of their squad for the 2009–10 Champions League, potentially allowing Caicedo a year to develop himself as a forward before returning to Manchester City.

Caicedo made his debut for Sporting after coming on as a substitute for an injured Hélder Postiga in the 38th minute of a 2–1 loss against Braga on 22 August 2009.

[23] After suffering a ligament injury in a match against Braga which ruled him out of action for 3 weeks, Caicedo made his return for Sporting against Olhanense on 21 September 2009, and provided an assist for Simon Vukčević's winning goal in a 3–2 victory.

On the final matchday of the domestic season, Málaga required a point to stay above the relegation zone, where they faced Real Madrid at home at La Rosaleda.

[28] Real Madrid levelled after the break through Rafael van der Vaart, but the early goal was enough for Málaga to avoid relegation.

[29] Just one hour before the deadline of the Spanish summer transfer window, Caicedo completed a loan move to freshly promoted Levante for the 2010–11 season.

[31] Along with a Christian Stuani strike, Levante went on to win 3–1, picking themselves out of the relegation zone after a miserable four-match losing streak.

[33] This was the last game before the winter break and started an abysmal five-game losing streak for Levante that left them at the bottom of the Liga table.

[34] Levante turned this around on 29 January 2011 against Getafe, with Caicedo scoring the second goal of a 2–0 win and lifting the team from the bottom of the relegation zone.

On 25 July 2011, Caicedo signed a four-year contract with Lokomotiv Moscow for a fee of €7.5 million and was handed the number 25 jersey.

"[48]On 14 August 2011, Caicedo made his debut in the Russian Premier League after coming on at the 61st minute for Dmitri Loskov as Lokomotiv Moscow drew 0–0 against Volga.

In the Europa League, Caicedo made his debut in the Play-off round as Lokomotiv Moscow beat Spartak Trnava 3–1 on aggregate on 25 August 2011.

[57] In the second leg of the Europa League Round of 32, Caicedo played as his club were eliminated after Athletic Bilbao won 1–0 and progressing in the competition due to the away goals rule.

[58] In the January transfer window, reports from Brazil and Ecuador claimed that Caicedo was joining Série B side Boa Esporte on loan.

Upon the arrival of Mirko Vučinić to the club, Al-Jazira and Caicedo parted ways by mutual consent, making him a Free agent after 18 appearances and 5 goals.

[65] On 13 January 2015, Caicedo scored a brace in 12 minutes in a 2-0 Copa del Rey victory over Valencia, helping his club qualify for the quarter-finals.

[74] On 15 December, Caicedo scored a game winner in the Copa del Rey victory against Levante to help Espanyol qualify for the round of 16, where they were faced with city rivals Barcelona.

Caicedo had a slow 2016-17 season, scoring twice in 29 appearances, and with Gerard Moreno and Léo Baptistão above him in the pecking order, he began to look for a new club.

[91] In May 2016, Caicedo suffered an injury in a match against Barcelona, which kept him sidelined for around a month and caused him to miss the Copa América Centenario.