Diego Caballo Alonso (born 17 February 1994) is a Spanish professional footballer who plays for Sydney FC as a left back.
Caballo was born in Salamanca, Castile and León, and joined Real Madrid's youth setup in 2009, from UD Salamanca. He made his senior debut with the C-team on 24 August 2013, starting in a 1–0 Segunda División B away win against Atlético Madrid B.