Caballo Lake is a reservoir on the Rio Grande created by the Caballo Dam in southern New Mexico, United States. It is the fourth largest reservoir in New Mexico in terms of surface area and the fifth largest body of water in New Mexico in terms of volume. The lake is in Caballo Lake State Park, which is approximately 16 miles (26 km) south of Truth or Consequences.

The lake is used for recreational activities, such as boating, swimming, waterskiing, and fishing. Fish in the lake include walleye, bass, catfish, crappie, and bluegill.

Caballo Lake is also a birdwatching site. Many migratory birds use the lake as a rest stop during their travels, and eagles are often seen in the area.

Caballo Lake is named for the Caballo Mountains that border the lake to the northeast, east, and southeast, in which wild horses roamed; Caballo means "horse" in Spanish. The upper area of the lake is very shallow and, in times of low water, has been blocked from the lower, deeper end of the lake. The water has a slightly brownish hue from a distance, due to the shallow waters (usually about 75 feet (23 m) at the deepest point). The beaches of Caballo are rocky when compared to Elephant Butte Reservoir, but there are many sandy areas. Beware of the whirlpool at the dam, as it can be a hazard.

• ""Publicly Owned or Operated Lakes in New Mexico" from the Surface Water Quality Bureau at the New Mexico Environmental Department" (PDF). (90.4 KiB)
• "Caballo Lake State Park", State Parks Division, New Mexico
• Caballo Dam, Bureau of Reclamation