The former Newcastle United defender inherits the armband from Darren O'Dea, who has signed with Metalurg Donetsk.
"It's an honor for me to be captain," Caldwell told mlssoccer.com. "It's something that I have always enjoyed throughout my career. Hopefully I take it in stride. I've never felt any great pressure about it. Hopefully I can bring some help to the lads.
"I've actually captained almost every team that I have played for at some point. I've also been lucky to captain Scotland once or twice. Managers have always given me that responsibility. I enjoy it and it maybe brings a little bit more out of me. I think [Nelsen] felt I was the right man to lead the team forward and I hope I can prove him right. He has shown a lot of faith in me and I hope to repay him."