Diego Caballo Alonso (born 17 February 1994) is a Spanish professional footballer who plays as a left-back for Danish 1st Division club AaB.
Caballo was born in Salamanca, Castile and León, and joined Real Madrid's youth setup in 2009, from UD Salamanca. He made his senior debut with the C-team on 24 August 2013, starting in a 1–0 Segunda División B away win against Atlético Madrid B.