The former Hibs, Charlton, Blackpool and Carlisle gloveman arrived at St James’ Park on deadline day, ostensibly as cover for suspended number two Steve Harper.
Caig has signed a deal that will keep him at United until the end of the season, although he hopes to impress enough to earn a longer contract.
Of his shock move he told the Evening Chronicle: "I have always known what a big club Newcastle United were.
"But it wasn't until I came down here for a couple of weeks on trial in October that I realised what such a brilliant club it is.
"Everything they do here seems to be geared for success and I would love to stay here and be a part of it.
"But while the competition among the goalkeepers is fierce, I feel as though the ball is in my court."
With Harper banned for three matches after a dubious sending off in the reserves, Sir Bobby will have to choose between Caig and John Karelse for a place on the bench against Arsenal.