The 32-year-old has joined the club from Malaga on a 3 year deal and will bring a wealth of experience as he joins fellow keepers Joe Hart and Richard Wright.
He is the Club's third signing of the summer, with Fernando and Bacary Sagna also joining City in the past month.
Caballero exclusively told mcfc.co.uk: “I am very happy, and really looking forward to the start of pre-season and performing well to help the team.
“This is a new challenge and a new league for me. I have been doing well in the previous years and my goal is to go on and hopefully perform at the same level for City.
“I know I am coming to a big club with a very good goalkeeper. City already have a great goalkeeper in Joe Hart, but I will try and compete for the no.1 spot. I will do my best in the training sessions.”
Caballero began his career in his homeland with Boca Juniors, where he won the Argentine Primera League, Copa Libertadores and Intercontinental Cup in 2003.
He moved to Spain in 2004 and spent seven years with Elche, before linking up with Manuel Pellegrini at Malaga.
The stopper entered the club’s record books by going 480 consecutive minutes without conceding, and gained valuable Champions League experience during his time with the La Liga side.
He revealed: “The most beautiful moments of my career were under Manuel Pellegrini in Malaga, where we achieved big things and we made Malaga’s name known around Europe.
But I also like the way he works, I think his best quality is giving players the confidence to achieve their potential.
...Willy Caballero on Pellegrini...
“As for my new team-mates, I have a very good relationship with Martin Demichelis, but I’ve never met Pablo Zabaleta and Sergio Aguero. It’s something I’m looking forward to. For me it is very good to have people from Argentina in the squad because I think it will be very helpful.
“I spoke to Roque Santa Cruz and Demichelis, and they told me that Manchester is a very beautiful city and very welcoming, so that will be great for my family and I can’t wait to enjoy it.”
Caballero won the u20 FIFA World Cup with Argentina in 2001, and was part of the squad that triumphed at the 2004 Summer Olympics as a 22-year-old, but the Premier League represents a new challenge for the Santa Elena-born stopper.
“I’ve always loved the Premier League, I watched it as a child and I always liked the style of play here,” he said. “When I was 19 I came to play a friendly against England and I really liked how they played and how passionate the fans are. It’s a big step in my career and a dream realised to play in the Premier League.
“Roque and Martin told me that the City fans are fantastic and that they are very supportive."
"Hopefully we can have many happy times together.”
Watch Caballero’s first interview in full on CityTV on Tuesday.
City’s new recruit will be presented to fans for the first time at City Live – buy your tickets here.