On June 6, 2006, Caggiano was appointed auxiliary bishop of Brooklyn and Titular Bishop of Inis Cathaig by Pope Benedict XVI. He received his episcopal consecration on the following August 22 from Bishop Nicholas DiMarzio, with Bishops Thomas Daily and Ignatius Catanello serving as co-consecrators. Caggiano has participated in a number of World Youth Day gatherings, delivering catechetical talks in Sydney (2008), Madrid (2011) and Rio de Janeiro (2013).