On 1 July 2017, Caballero signed for title holders Chelsea on a free transfer.
He made his competitive debut on 20 September, in a 5–1 home win against Nottingham Forest for the League Cup.

On 17 January 2018, Caballero saved a penalty from Nélson Oliveira in the shootout of a third round FA Cup replay win over Norwich City, which had finished 1–1 after extra time.
Due to an ankle injury to first-choice Thibaut Courtois, he made his Premier League debut away to Brighton & Hove Albion two days later, in a 4–0 success.

On 24 February 2019, during the 2019 EFL Cup Final against cup holders Manchester City, with the match at 0–0 and a penalty shootout imminent, Chelsea goalkeeper Kepa Arrizabalaga refused to be substituted off for Caballero to face his old club as the team went on to lose 3–4.

With Arrizabalaga struggling to stay in form during the 2019–20 Premier League season, Caballero was selected as the starting goalkeeper for Chelsea in a cup match against Hull City in late January 2020.
Caballero was then the starting goalkeeper for the next four league matches and a Champions League match before Arrizabalaga returned.
On May 20, 2020, Caballero had his contract with Chelsea extended by one more year.
On 1 July 2017, Caballero signed for title holders Chelsea on a free transfer. He made his competitive debut on 20 September, in a 5–1 home win against Nottingham Forest for the League Cup.
On 17 January 2018, Caballero saved a penalty from Nélson Oliveira in the shootout of a third round FA Cup replay win over Norwich City, which had finished 1–1 after extra time. Due to an ankle injury to first-choice Thibaut Courtois, he made his Premier League debut away to Brighton & Hove Albion two days later, in a 4–0 success.
On 24 February 2019, during the 2019 EFL Cup Final against cup holders Manchester City, with the match at 0–0 and a penalty shootout imminent, Chelsea goalkeeper Kepa Arrizabalaga refused to be substituted off for Caballero to face his old club as the team went on to lose 3–4.
With Arrizabalaga struggling to stay in form during the 2019–20 Premier League season, Caballero was selected as the starting goalkeeper for Chelsea in a cup match against Hull City in late January 2020. Caballero was then the starting goalkeeper for the next four league matches and a Champions League match before Arrizabalaga returned. On May 20, 2020, Caballero had his contract with Chelsea extended by one more year.
Willy Caballero