Caballo is a census-designated place in Sierra County, New Mexico, United States. Its population was 112 as of the 2010 census. Caballo has a post office with ZIP code 87931. The community is located along New Mexico State Road 187, north and south of Exit 63 on Interstate 25. Caballo was founded in 1908, when John Gordon and his extended family homesteaded here. It was named after the mountains to the east. A post office was established in 1916.