With the former All Black Frano Botica orchestrating play from stand- off, Llanelli took control at the outset with their forwards dominating the lighter home pack.
Botica's probing gave right-wing Wayne Proctor an easy run-in for the opening try after 11 minutes, and the Kiwi added a penalty five minutes later to put the visitors into a 10-0 lead.
The Scotland full-back Rowen Shepherd reduced the deficit with a penalty before Matthew Wintle, the Llanelli left wing, rounded off an overlap with a try after 25 minutes.
Caledonia were a different side in the second half and prop John Manson burrowed his way through after a line-out on the Llanelli line. John Kerr then went over in the corner.
Llanelli, who had lost centre Nigel Davies with a suspected torn groin muscle, needed considerable willpower to withstand a furious final assault in which Murray Fraser, the Caledonia centre, just failed to hold a pass with the try line in sight.
Caledonia: Tries Kerr, Manson; Conversion Shepherd; Penalties Shepherd 2. Llanelli: Tries Proctor, Wintle; Conversions Botica 2; Penalties Botica 3.Reuse content