Named after the Caledonian Asylum, and Barnsbury, the manor of the Berners family.
The asylum was a home for Scottish children ('Caledonia' is a poetic name for Scotland). Barnsbury is a shortened form of Bernersbury, recorded in 1274, after the Berners family, medieval lords of much of Islington. The station opened in 1870 as Barnsbury, replacing a nearby Caledonian Road station of 1852, and took its double name in 1893.