Caicedo was named Chelsea Player of the Season and Players' Player of the Season.
"I’m so proud of myself. I thank God first and my family, this is for them too," the Ecuador international said. "My level is higher now, but I know that in the next few games and next season are going to be very good.
"I feel I’ve improved a lot. Last season, I learned a lot from it, and this season I prayed and told myself that this would be my season, because playing for Chelsea is a dream come true. I’m so happy to be here and win this.
"Being given this award (the Players' Player of the Year) by my team-mates means a lot to me, but it is also for them.
"They help me every day and in every game; it is an award for them too."
"We play for Chelsea's fans"
Caicedo also thanked the supporters who voted for him.
He continued, "The fans, I appreciate a lot. We play for them. They help us, support us, and push us when we need them. It’s why this award makes me so happy. Hearing the fans sing my name is a dream come true. It’s always special and pushes me more to do a better job.
"I hope they keep believing in us because we all want to bring trophies to this amazing club. Believe in us because we are trying to bring everything to Chelsea."