The former Manchester City and Chelsea goalkeeper was signed by Saints boss Ralph Hasenhuttl after his other goalkeepers, Alex McCarthy and Fraser Forster, both picked up injuries.
He won a League Cup during his time in Manchester, before picking up two FA Cup, a Champions League and a Europa League winners medal whilst at Chelsea.
The 40-year-old had been training with AFC Wimbledon to keep us his fitness since leaving Chelsea in the summer and has been watching video clips of how his new team plays in preparation for the game against the Gunners.
Asked how Caballero has settled in, Saints youngster Nathan Tello told the Daily Echo: "He's trained with us the past two days. He's looked very good.
"It's nice to have someone there as well with a lot of experience.
"He's here to help us pick up points and get back further up the table, where we feel like we deserve to be.
"It's just nice to have him because we've got quite a young team, quite a young defence and it will be nice for him to just pass that experience.
"He communicates a lot to the back four, which is good. That is something we need.
"I'm looking forward to seeing him play at the weekend, if he plays."
Despite sitting in 16th, as things stand, their defensive record has been decent this campaign.
They have conceded 21 goals in 15 games, keeping five clean sheets, something Caballero will be hoping to improve on when he takes the No.1 spot this weekend.
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