The Utrera-born coach arrived at Sevilla under the guidance of the then president Roberto Alés and his sporting director, Ramón Rodríguez Verdejo, Monchi, at the beginning of the 2000/01 season, with the sole objective of attempting the all-out challenge to reach the First Division. During his first season in charge of the first team, Caparrós achieved the long-awaited promotion, winning the Second Division title by a landslide.
Over the next four seasons in the Sevilla dugout, the Utrera native not only managed to secure Sevilla's place in the top flight, but also to qualify for the UEFA Cup on two occasions. It was the second of these, achieved at the end of his last season at the club, that would lead to the club's first European silverware a year later.
Almost 13 years after his departure, Caparrós returned to the club in April 2018 following the sacking of Vincenzo Montella. With just three games left in the season plus the postponed match against Real Madrid, the Utrerano's mission was to qualify the team for the UEFA Europa League. He even did so with a game to spare, managing three wins and a draw. At the end of the season, it was announced that he would move into the office as the club's director of football.
In March 2019, he began his third spell in charge of the Sevilla bench following the dismissal of Pablo Machín, leaving his post as the club's Director of Football. With a balance of six wins, one draw and four defeats in the last eleven league games, he tied for sixth place, which allowed Sevilla FC to qualify directly for the group stage of the UEFA Europa League.