Caulfield was born as Maxwell Maclaine in Chesterfield. the elder son of Peter Nelby Maclaine and his wife, Oriole. He has a younger brother, Marcus Maclaine, a musician. The actor's American stepfather, a Marine instructor at Parris Island, reportedly kicked Caulfield out of the house at the age of 15. He later became a go-go dancer at Raymond Revue Bar, a famous striptease club in London. At 18, he moved to the U.S. and obtained his green card. Caulfield made his acting debut off-Broadway in 1981 as the titular drifter in Joe Orton's Entertaining Mr. Sloane. He made his Broadway debut in J. B. Priestley's An Inspector Calls opposite Sian Phillips. He also played opposite Jessica Tandy and Elizabeth Wilson in Salonika. In 2007, Caulfield performed in the Charles Busch play, Our Leading Lady, opposite Kate Mulgrew. He has also played the leading role in a regional production of the Jerry Herman musical, La Cage aux Folles.