Caracciola won two races in the 1938 season: the Swiss Grand Prix and the Coppa Acerbo; finished second in three: the French, German and Pau Grands Prix; and third in two: the Tripoli and Italian Grands Prix, to take the European Championship for the third and final time.
Z dirkalnikom Mercedes-Benz W125 Rekordwagen, ki je bil W125 z aerodinamično šasijo in večjim motorjem, je Caracciola postavil nov rekord za povprečno hitrost na leteči kilometer, 432,7 km/h, in letečo miljo 432,4 km/h, ki vse do danes ostajajo ene najvišjih hitrosti postavljene na javnih cestah.