The Costa del Sol club have made it to the last eight of Europe's elite club competition despite doubts over the commitment of their Qatari owner and cashflow problems that prompted a ban from UEFA competition from next season.
With Caballero in inspired form, Malaga weathered a first-half storm in the quarter-final first leg at home to the German side and created several chances in an entertaining clash between two attack-minded teams.
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It was another magical night for the home fans getting a first taste of life among Europe's elite and their most famous supporter, Hollywood actor and local native Antonio Banderas, was an enthusiastic spectator alongside former Malaga player Ruud van Nistelrooy.
Dortmund's Mario Gotze was twice clean through on goal in the first half but was unable to get the better of Caballero and the Germany international skewed a shot wide when well placed 25 minutes from time.
Isco had Malaga's best chance in the 66th minute when he smashed a shot through a crowd of players but Dortmund keeper Roman Weidenfeller punched the ball away to leave the teams goalless ahead of Tuesday's return leg in Germany.
"We weren't able to score but let's see what we can do in the return leg next week," Caballero said in an interview with Spanish television broadcaster Canal Plus.
"It was my turn to participate tonight and let's hope it's all going to be worth something in a week's time," added the Argentine.
"We have a week to keep studying them and hopefully we can get a result over there."
SHARP SAVE
Malaga had the first clear chance of the match in the seventh minute when Javier Saviola found space in the area but sent his close-range effort wide of Weidenfeller's left post.
Dortmund gradually began to assert themselves, mounting a series of sweeping attacks, and after Willy had twice denied Gotze, Martin Demichelis sprinted across to steal the ball from Robert Lewandowski as he bore down on goal.
Malaga captain Weligton, who was booked in the 31st minute and will be suspended for the second leg, forced Weidenfeller into a sharp save three minutes before the break before Caballero palmed away a powerful Sebastian Kehl drive.
Dortmund were immediately on the attack again in the second half and Lewandowski badly fluffed a shot when well placed in the 47th minute.
As the match wore on and the Dortmund players began to tire, Malaga exerted more control and there were far fewer scoring chances as both teams tempered their attacking instincts to avoid conceding a late goal.
The final chance fell to Malaga fullback Antunes and his first-time effort from 30 metres whistled narrowly over the crossbar.
Malaga midfielder Manuel Iturra picked up a late booking which means he will also be suspended for the second leg.
