The centre-back, 32, was appointed as Malky Mackay's replacement at the DW Stadium following the club's sacking of the Scotsman after they fell to 23rd spot on the Championship table.
The former Newcastle United, Hibernian and Celtic defender was thrilled to be stepping in to the coaching role for the club he captained after working with the first team as well as the Latics Academy in recent times.
"I've made no secret of the fact that I wanted to move into management when the time was right," he told the club's official website.
"I didn't expect that to come along as quickly as this but, in football, you need to take opportunities when they arise and I am honoured and excited in equal measures to take charge at the Latics, where I have shared such incredible memories over the past five years.
"We are in a really tough place at the moment, but we will approach the next five games with only one thing in mind, to win. After that, we will assess where we are and move on."
Caldwell has been with Wigan since 2010 but called time on his playing career in February this year because of a persistent hip injury.
He made over 110 appearances for the Latics including the 2013 FA Cup triumph over Manchester City when he skippered the side.