Essendon are 0-3 to start the season and have three more games before they meet the Magpies at the MCG on April 25.
Apart from a draw in 2024, Collingwood haven't lost the fixture since 2021.
Speaking at the launch of the Anzac Day Appeal at the MCG on Monday, an upbeat Caldwell felt the Bombers' form was tracking in the right direction in their 12-point loss to North Melbourne.
"Obviously starting the season zero and three, it's not where we want to be at the moment, but I felt on the weekend it was definitely a winnable game and we couldn't execute, but it was a bit more of a defensive blueprint we've gotten back," the 25-year-old said.
"I feel like we have great talent and a great list, but we're just not bringing it at the moment.
"We've played three games and there's still 20-odd to go, so we're looking forward to those."
However, a loss to the second-placed Western Bulldogs at Marvel Stadium on Sunday will see the team equal the club's worst-ever streak of 17 straight defeats.
"Not one of us has spoken about it but, yeah, we probably don't want to break that record," Caldwell said.
Collingwood's Isaac Quaynor was also at Monday's fund-raising launch and said the Anzac Day encounter was a game he had circled on the calendar since he was a kid.
"Growing up a Pies man, I used to come to this game as a kid and it was something that I always cherished," the defender said.
"It's a game where it doesn't really matter where each team is on the ladder or current form, it's always a ripping game."
The seventh-placed Magpies are set for a blockbuster clash on Thursday night at the Gabba against defending champions Brisbane, who broke through for their first win of the season with victory over St Kilda on Saturday.
Quaynor said he had sympathy for the Bombers players, having experienced similar when Collingwood finished second-last in 2021.
"I remember that year quite well and we were briefly speaking on it," the 26-year-old said.
"You definitely feel the pressure, especially externally, but it seems like at Essendon that internally nothing changes and you have a lot of confidence.
"There's no point being down in the dumps, you may as well be positive and attack training with as much energy as you can.
"We've definitely been there, but you can see how quickly things can change, so I think that's the light at the end of the tunnel for sure."