Caballo Lake, reservoir on the Rio Grande in New Mexico, United States

Caballo Lake is a reservoir on the Rio Grande in southern New Mexico, held back by Caballo Dam and lying about 16 miles (26 km) south of Truth or Consequences. The Caballo Mountains border it to the northeast, east and southeast. Its deepest point is usually about 75 feet (23 m), and the water looks slightly brownish from a distance because of the shallow upper end.

Caballo Lake exists because of Caballo Dam, built on the Rio Grande in southern New Mexico to store water for nearby farms and towns. The reservoir became the fourth-largest in New Mexico by surface area and the fifth-largest by volume. Its creation also opened the area to boating, swimming, waterskiing and fishing.

The lake takes its name from the nearby Caballo Mountains, with "Caballo" meaning "horse" in Spanish. The mountains were named for wild horses that once roamed the region, and this cultural connection remains present in local stories and how visitors experience the landscape.

Caballo Lake State Park lies about 16 miles south of Truth or Consequences, with the lake's upper end very shallow and sometimes cut off from the deeper lower end. The dam area has a whirlpool hazard, so keep well back from the structure. Beaches are rockier than at Elephant Butte Reservoir, though sandy patches exist.

The upper part of Caballo Lake is very shallow and can become cut off from the deeper lower end when water levels drop. The lake's deepest point is usually about 75 feet (23 m), and its water looks slightly brownish from a distance because of the shallow areas.