Caig started coaching Carlisle United's goalkeepers while still playing for Workington where he won the Non-League Goalkeeper of the Year award for 2009–10 and also the Reds Player of the Year award and National supporters award in helping Workington to a fourth-place finish. Carlisle then entered negotiations with Workington to allow Caig to combine his coaching duties with serving as an understudy to current first choice goalkeeper
Adam Collin. During the 2014–15 season he was, alongside
Paul Thirlwell, made caretaker manager for four games following the dismissal of
Graham Kavanagh as manager. After an injury to first choice goalkeeper
Mark Gillespie in September 2014, Caig was re-registered as a player to provide cover for backup goalkeeper
Dan Hanford. He was allocated the number 29 shirt. In June 2015 Caig signed for
Hartlepool United as a goalkeeping coach, the same role he held at Carlisle United. He left Hartlepool United in January 2017 due to a change of management and took a role at
Newcastle United Academy coaching the 12-16 goalkeepers, then in June 2017 left Newcastle and became
Bury head goalkeeping coach, assisting
Lee Clark and
Alan Thompson. Caig's contract was terminated once Bury were expelled from the
English Football League, he then took up a position as a goalkeeping coach of
Scottish Premiership club
Livingston. On 26 November 2020, Caig and
David Martindale became co-caretaker managers of Livingston following
Gary Holt's resignation. He initially stayed with the club after Martindale was appointed manager on a permanent basis, but left Livingston in May 2021 to focus on coaching work with the
Scottish Football Association. Caig briefly joined
Scottish League One club
Falkirk as part-time goalkeeping coach in June 2021, before taking the Head of Goalkeeping Performance position on a full-time basis at Premiership level with
Dundee United the following month. In 2022 Caig returned to Newcastle United to take up a new position of head of academy goalkeeping, co-ordinating the staff and development program of the 9-21s goalkeepers, in March 2024 Caig became the
Northern Ireland national team goalkeeping coach a role he combines with his role at Newcastle United. ==Honours==