Caballito Cerrero was founded in 1950 by Don Alfonso Jiménez Rosales who had previously founded Herradura. So the story goes, after falling out over a family dispute Don Alfonso started Caballito Cerrero which means 'the one that doesn't need horseshoes,' a not-so-subtle reference to Herradura which translates to "horseshoe". The agave spirit is produced at the Santa Rita factory, which was built in 1873 by Don Alfonso's father-in-law.

Caballito Cerrero is a unique agave spirit, a distillery with a rebellious streak. Although their agave spirits often fit the criteria to be called tequila they are instead a "destilade de agave".