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 is located at 32°58′50″N 107°18′27″W / 32.980625°N 107.307469°W / 32.980625; -107.307469. According to the U.S. Census Bureau, the community has an area of 0.979 square miles, all of it land. This is incorrect. The area stretches for over 5 miles and includes and active fire department and many businesses, and residences. It borders Caballo Lake State Park.