Caffery has been making photographs of the people and culture of her native Louisiana for over 30 years. Past projects include documentation of sugarcane field and mill workers, alligator hunting, and family portraits in Louisiana, as well as photographs of rural Mexico and Portugal. She will soon publish a new book documenting prostitution in Mexico. Caffery's work has been included in solo exhibitions at the Smithsonian Institution's National Museum of American History, Cleveland Museum of Art, Museum of Photographic Arts in San Diego, Chicago's Museum of Contemporary Photography, and the Gitterman Gallery, New York.

She has received numerous awards including a Guggenheim Fellowship (2005), the first Lou Stoumen Prize (1996), and the Louisiana Governor's Art Award (1990). Her work is included in the permanent collections of many museums, including the Smithsonian Institution, Whitney Museum of American Art, the Museum of Modern Art, the Metropolitan Museum of Art, and the New Orleans Museum of Art. Caffery has published several highly praised books, including Polly, The Shadows, and Carry Me Home.