Caballero's third league match was on 26 September 2015, a 1–4 defeat at Tottenham Hotspur. Throughout the season, he was first-choice in the League Cup, receiving criticism in the national press before the final following a poor performance in the 1–5 loss to Chelsea in the FA Cup; in the decisive match at Wembley Stadium, he saved three attempts in the 3–1 penalty shootout triumph against Liverpool, and Pellegrini subsequently said he would rather lose the match to keep his word, whilst several pundits added that both player and manager deserved an apology with some remarking the performance was a lesson in loyalty.