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Caballero played for Málaga before joining Manchester City. He joined Málaga in 2011 and spent four seasons with the Spanish club, making over 100 appearances. During his time at Málaga, he helped the team reach the Champions League quarter-finals in 2013 and win the Copa del Rey in 2014. He left Málaga in 2015 to join Manchester City, where he has been a backup goalkeeper behind Ederson.