Caldwell played for Newcastle United, Darlington, Coventry City, Derby County, Hibernian, Celtic, Wigan Athletic and won 55 international caps for Scotland.

Breaking through from the reserves proved difficult, however, and in search of first team football, he went on loan to other clubs on several occasions: Darlington and Hibernian in 2001–02,[9] then Coventry and Derby County the following season.

[10] He signed a short-term contract with Hibs for the second half of the season,[10] and during this period he played in their defeat by Livingston in the 2004 League Cup Final.

[15] He was also criticised during the 2006–07 season for a bad tackle on Kilmarnock player David Fernández, which damaged the Spaniard's cruciate ligament.

[16] Caldwell subsequently gained recognition and respect from the fans, becoming something of a cult hero, as shown by the chants of "heid" when he was in possession of the football.

[15] After being named as the Writers' Player of the Year for the 2008–09 season, Caldwell stated his belief that this was due to him having a long run in his preferred position, and improved concentration and decision making on his part.

[22] In May 2013 he jointly lifted the FA Cup with playing captain Emerson Boyce after Wigan defeated Manchester City 1–0 in the final.

[24] In the 2013–14 Football League Championship playoff semi final second leg against QPR, Caldwell conceded a penalty kick during a 2–1 defeat that ended Wigan's hopes of promotion.

[28] He scored the only goal of the game as Scotland defeated France 1–0 at Hampden Park, on 7 October 2006 in a Euro 2008 qualifying match.

[27] He was appointed the new manager of Wigan Athletic on 7 April 2015 after the dismissal of Malky Mackay with the club 23rd in the Championship with five games remaining.

[40] Thistle avoided relegation at the end of the 2018–19 season, but Caldwell was sacked in September 2019 as the club sat second-bottom of the 2019–20 Scottish Championship table.