Ultimately, Chelsea's persistent interest led him to choose them over Liverpool, but it came at a hefty price of £115m.
Despite facing some tough criticism, the 22-year-old hasn't quite proven his worth consistently yet. He's been a regular starter for Chelsea, with 30 starts and four substitute appearances across all competitions. However, he acknowledges that he's still adjusting to life at Stamford Bridge, especially with the team yet to reach their full potential under Mauricio Pochettino.
In a statement to the club's media, Caicedo expressed his thoughts.
"At the beginning, I felt the pressure. In my mind, I wanted to show my best football and why the club paid the money for me.
"After that, I started to speak with people who helped me understand that if Chelsea signed me it's because I am worth it. I have kept on playing and I know I have to show my best on the pitch.
"Of course, I haven't played every game well and it was tough at the beginning, but now I feel good and feel I am helping the team. I am only thinking about the game and not what people are saying about me.
"Personally, now I am feeling good. I can see my gains and I am playing better and helping the team. That is important for me because when I don't play well, I get frustrated. It's my first season at Chelsea so it's normal that it took some time and I am learning in every game."
Caicedo has been in the starting lineup for 21 out of Chelsea's 26 Premier League matches. However, he sat out the first game against Liverpool as he was still adjusting to life at the club. His debut came as a substitute against West Ham United the following week.
He committed to Chelsea until the end of the 2030-31 season when he joined the West London side. The former Independiente del Valle youngster is anticipated to stay with the club for the long haul.