He was born at his family's home in Carlton House Terrace, London on 11 July 1846.
He was the eldest son of James Du Pre Alexander, 3rd Earl of Caledon and his wife, Lady Jane Grimston.
He succeeded to the title Earl of Caledon at the age of nine upon the death of his father in 1855.
He gained the rank of captain in the service of the 1st Life Guards, became a major serving with the 4th Battalion, Royal Inniskilling Fusiliers and fought in the Egyptian Campaign in 1882.
He married Lady Elizabeth Graham-Toler, daughter of Hector Graham-Toler, 3rd Earl of Norbury, on 9 October 1884 and had the following children: Lord Caledon died on 27 April 1898 at the age of 51 in Curzon Street, Mayfair, London, from blood poisoning and pneumonia.