New Zealand Methodist, born at Portaferry, Co. Down, Ireland. Apprenticed at 15 to James Lindsay and Co., Belfast drapers, he completed six years with the firm and in 1870 moved to London, where he continued to follow his trade. Returning to Belfast, he rejoined his old firm in 1877, but his health led to a decision to emigrate to New Zealand in 1879. He had studied to become a preacher, and according to his obituary spent some time at Wesley College, Dublin prior to offering for the WM ministry in 1880. He served as a probationer in three northern circuits (Kaipara, Pukekohe and Northern Wairoa) until another breakdown in his health led to his resignation in 1883. He was described as a passionate preacher who drove himself too hard.
He returned to the drapery trade at the suggestion of his brother-in-law W.H. Smith, another active Methodist layman, and together they founded the firm of Smith and Caughey which achieved a pre-eminent position in the Auckland mercantile scene. Caughey maintained an active interest in the Church thoughout his life and for nearly thirty years was a regular attender at the Conference, representing the Wesley College Board. He was also a lay representative at the international Ecumenical Methodist Conference in Washington DC in 1891.His business success enabled him, with his sister Marrianne Smith, to engage in wide-ranging philanthropy. Together they enabled the first Methodist orphanage to be founded in New Zealand, in 1913. He served from 1892 on the Board of Governors of Prince Albert Theological College, and remained a member of the Board and a benefactor of the subsequent training institutions until his death. He was equally involved in the work of Wesley College, the secondary school for Maori and other boys, and had much to do with the purchase of its present site in 1922.He also served for many years on the Board of the Auckland YMCA, was a generous benefactor of the Plunket Society, raised and served as captain of a company of the Auckland Volunteer Rifles. He settled in the new Auckland suburb of Mt. Albert and was an elected member of the local Road Board, whose primary responsibility was to lobby for better local roading. When he died on 18 December 1928 it was his public-spirited generosity that was widely commented on, as well as his faithful commitment to his Church.