According to the United States Census Bureau, the town has a total area of 2.8 square miles (7.3 km²), of which, 2.8 square miles (7.3 km²) of it is land and 0.35% is water.
Caledonia was originally known as Yeggerstown, named after the abundant number of Yeggers (now Eggers) who settled there in the 1830s. According to the Caledonia Public Library, the town was renamed by one of the Yeggers who saw a blonde girl he aspired to romance named Caledonia. Caledonia is also the Latin name given by the Roman Empire to a northern area of the island of Great Britain.
Former mayors of Caledonia include The Hon. George Gerhart, Don Myers and Walton O. Willis, Jr.
A tornado hit Caledonia on the afternoon of January 10, 2008, causing damage to the high school vocational building and the middle school gymnasium.
There were 365 households out of which 41.9% had children under the age of 18 living with them, 62.7% were married couples living together, 10.1% had a female householder with no husband present, and 21.1% were non-families. 19.5% of all households were made up of individuals and 8.5% had someone living alone who was 65 years of age or older. The average household size was 2.78 and the average family size was 3.17.
In the town the population was spread out with 30.3% under the age of 18, 8.7% from 18 to 24, 30.2% from 25 to 44, 22.5% from 45 to 64, and 8.3% who were 65 years of age or older. The median age was 34 years. For every 100 females there were 97.5 males. For every 100 females age 18 and over, there were 89.0 males.
The median income for a household in the town was $41,071, and the median income for a family was $50,625. Males had a median income of $32,159 versus $22,051 for females. The per capita income for the town was $16,798. About 3.3% of families and 8.0% of the population were below the poverty line, including 9.6% of those under age 18 and 23.8% of those age 65 or over.
The school's baseball team is often one of the best in the state, winning several state championships in the 1970s and 1980s. The school's nickname is the Confederates, and the school colors are cardinal red and white.
The high school was heavily damaged by a tornado on January 10, 2008. No students were injured, but substantial damage was sustained, including a school bus being thrown onto the roof of the gym.