The 32 year-old has agreed to a move to the Sky Blues and a deal between both Malaga and Man City has been agreed upon as well according to Cadena COPE.
The Argentine born stopper should be joining the club for a fee of around 5 million pounds and may be able to make himself the first choice at the Etihad for the years which he is at his new club with Joe Hart stuttering in terms of consistency.
Caballero was instrumental in Malaga's survival this season and featured in all League matches for his side over the course of the season.
The Argentina youth international will also be about the last of the big names to leave Malaga with the likes of Isco, Demechelis, Toulalan, Carzorla and Nacho Monreal all leaving the club over the past two seasons among other big name players.