The Caledon River is located in south-east Africa, rising in the Drakensberg Mountains in Lesotho. The origin is in the former bantustan of QwaQwa, near the border with Lesotho, southwest of Witsieshoek. It then flows south-west, marking the border with South Africa and Lesotho before entering South Africa's Free State province (north of Wepener). It then flows westwardly before joining the Orange River near Bethulie in southern Free State, just before the Gariep Dam. The land falling into the wedge between these two rivers forms the Tussen-die-Riviere Nature Reserve.