The last time Caleb had ridden a horse prior to filming Concrete Cowboy, was his sister's sixth birthday. "This was an intense training that I had to do. It was nothing like I've ever done before. I spent like a week before actually hopping on the horse just building a relationship with a horse," he said in an interview with Decider. "A lot of people don't realise—it's not, 'Okay, I'm gonna hop on a horse and say 'Yeehaw!' and ride out into the sunset.' It's like, you have to build this special, spiritual bond with this horse. When you're training with the horse, the horse is also training with you."