Caballero started skating in 1976 at the age of 12. He was sponsored as an amateur by Powell Peralta in 1978 at the age of 15. He turned pro in 1980 at the Oasis Skatepark, Southern California during the Gold Cup series. He is a member of the Bones Brigade, and has appeared in many of their videos, including The Search For Animal Chin. His current sponsors include Powell Skateboards, Bones Bearings, Independent Truck Company, Autobahn Wheels, Red Dragon, Sessions Clothing,Vans Skate Shoes, Vestal Watches and Protec Helmets. His past sponsors included Tracker Trucks, Standard Trucks and Bones Wheels. Caballero has been featured on the cover of Thrasher Magazine and several other publications. Steve was also a character in four of the Tony Hawk games, from Tony Hawk's Pro Skater 2 to Tony Hawk's Underground.
He invented the Caballerial, around 1980, in the 10 ft. keyhole pool at Winchester Skatepark in Campbell, California. As well as the frontside rock n' roll slide (now more commonly referred to as a frontside board slide).