Named after the Caledonian Asylum, a home for Scottish children.
The asylum was founded in 1815 by the Highland Society of London for Scottish children orphaned in the Napoleonic Wars, and moved here in 1828. The road, built in 1826 as a toll road, was first called Chalk Road and renamed after it. 'Caledonia' was the Roman name for part of the Scottish Highlands and is now a poetic name for all of Scotland.