The £115million star admitted to crying every day after leaving Independiente del Valle for Brighton in the height of the Coronavirus pandemic.
After sealing a move to the Amex Stadium in January 2021, Caicedo spent 10 days in isolation at a local hotel.
In a recent interview for the official Chelsea website, the 22-year-old recalled speaking to his parents about returning home.
He said: “I came here when Covid was blowing up, and before I could go out in England I had to stay for 10 days in a hotel.
“I didn’t meet my team-mates. I cried every day in that hotel. I remember.
“I called my mum and dad and told them I wanted to come back to Ecuador because everything was so different and I didn’t want to be here.
“They said, ‘Son, you have to be strong. This is your dream. You prayed for this. So keep strong, keep praying, because God is everything in our life’.
“So, I started to do that. Every day, I kept praying and I started to feel better and better. Now I’m here at Chelsea, enjoying every game. It’s great to be here, to be part of this amazing club.”
Chelsea announced the arrival of Caicedo by recreating a photo of the midfielder and his mum from 2020.
FREE BETS – BEST BETTING OFFERS & NEW CUSTOMER BONUSES
Caicedo then went on to admit that joining Chelsea was a “dream come true”.
Now, he is aiming to win big with the Blues.
The Ecuador international added: “My dream is winning something with this club, this season.
“I’m gaining confidence in every game, because playing at Stamford Bridge is amazing and the crowd is always supporting us.
“It’s so good to have their support in good and bad moments, because when the good moments come, we are going to celebrate with them.
“The Premier League season is long, there is a long way to go, and we have to keep fighting and working hard. When you do that, you are going to start seeing the achievements.”