Caballo Lake State Park is a state park of New Mexico, United States, located 16 mi south of Truth or Consequences on the Rio Grande. Caballo Lake was created in the 1930s when an earthen dam was built across the Rio Grande. The dam is 96 ft tall and 4558 ft across. The size of the lake varies by season, but when the lake is full, it is over 11500 acre in area, and 18 mi long, making it New Mexico's third largest lake. The primary attraction of the lake is fishing, with bass and walleye fishing most popular.