A 3-2 defeat to Swansea on Tuesday left the Latics three points adrift of safety with a testing away trip to Arsenal and a home fixture with Aston Villa remaining.
But, before the two league games, Roberto Martinez's men face Manchester City in the FA Cup final on Saturday, and Caldwell thinks a win at Wembley will give the team a massive morale boost.
"The Premier League and FA Cup are two different things," Caldwell said.
"But winning the FA Cup would give us the confidence and belief that anything would be possible in the last two games.
"It is a bit bizarre that the last two league games are more important than the FA Cup final, and no-one would deny that.
"But I think we have managed the situation well this year, where we have switched off from the league and gone to the FA Cup.
"At the moment we have 100 percent focus on winning the FA Cup. Come Sunday, after the final we can regroup and focus on our goal of staying in the Premier League.
"We know what it takes to stay up. There are going to be ups and downs. But thankfully it's not over and we have two games to survive in this league again."
Despite their league predicament following Tuesday's defeat, Caldwell believes that his team-mates will have no problems focusing on the cup final.
"We can switch off from the league and really enjoy the build-up to the final," he said. "It's something you dream of as a kid, playing at Wembley in a major final.
"I remember watching the game as a kid. I remember getting up with my whole family. Back in the day it was a day-long build-up.
"I've played in three cup finals now - two for Celtic and one for Hibernian - but Wembley will be particularly special. To win the FA Cup for this club would be a fantastic story."
After costly defensive errors against Swansea, Caldwell conceded there needs to be an improvement if they are to have a chance against City on Saturday.
"We have to be on our guard because we know the threat they have going forward with players like Sergio Aguero and Carlos Tevez," Caldwell said.
"Defensively we need to be a lot better than we have been recently. We need to improve our defending all over the park.
"But I think we can cause Manchester City problems. I think they will agree that in the two league games (against City) we did that.
"At the Etihad (where Wigan lost 1-0 in April) we were the better team on the night and deserved to win the game. Over the 90 minutes we showed we can cause them problems.
"We must concentrate fully on Saturday. We want to get a result against a great team. But I think we can still play with a real freedom."