Born at Dampierre-sur-Moivre, in northern France, Cailliet studied at the music Conservatory in Dijon. In 1915, he travelled to the United States as a tourist to attend the Panama–Pacific International Exposition, soon returning to France. In September 1920, he emigrated to the United States, sailing from Le Havre to New York on the S/S "La Savoie". His destination was Philadelphia.