Caffery was born in Lafayette, Louisiana, to Charles Duval Caffery and Mary Catherine Caffery. He was privately educated in primary and secondary school. He was a member of the first graduating class of Southwestern Louisiana Industrial Institute, which later became the University of Louisiana at Lafayette. He also graduated with a bachelor's degree from Tulane University in 1906. He was admitted to the Louisiana bar in 1909. Caffery was the cousin of U.S. Senator Donelson Caffery and U.S. Representative Patrick T. Caffery.
As the U.S. ambassador to Colombia, Jefferson was heavily involved in the Banana Massacre that occurred in 1928 in the small, coastal town of Ciénaga. Tired of terrible working conditions and very little wages, banana farmers went on strike in protest. In order to protect the interests of the United Fruit Company, Caffery reported to U.S. Secretary of StateFrank Billings Kellogg that leaders of the strike would be immediately arrested and sent to prison in nearby Cartagena. Martial law was declared soon after and an unknown number of workers and their families were shot by a firing squad in the town square. After the banana massacre he wrote, a dispatch from U.S. Bogotá Embassy to the U.S. Secretary of State, dated December 29, 1928, "I have the honor to report that the legal advisor of the United Fruit Company here in Bogotá stated yesterday that the total number of strikers killed by the Colombian military authorities during the recent disturbance reached between five and six hundred; while the number of soldiers killed was one."
Service in Cuba
In 1934, while ambassador to Cuba, four assailants attempted to assassinate Caffery in front of his home in Havana. The assailants waited outside of his residence for his daily departure to his yacht club. One assailant was killed by a bodyguard, the others escaped. Caffery was not hurt. The event was reported on the front page of the New Orleans Times Picayune, dated May 28, 1934.
Service in Egypt
After his appointment to Cairo in 1949, there was a coup d'etat headed by a junta of Egyptian army officers that led to the abdication of King Farouk on July 23, 1952. The junta was headed by Mohammed Naguib and Gamal Abdel Nasser, who demanded the departure of the British from the Suez Canal zone. Caffery served as intermediary between the Egyptian and British Governments in the negotiations, and his "long experience in diplomacy, together with the respect in which he was held by the Egyptian Government, enabled him to arrange for the gradual departure of the British." In 1954, the British agreed to evacuate their military bases in the Canal Zone until the summer of 1956, but were given the right to return in case of an attack by an outside power against an Arab League member state or Turkey. In total, he worked 43 years in foreign service under eight U.S. presidents: Taft, Wilson, Harding, Coolidge, Hoover, F. D. Roosevelt, Truman, and Eisenhower.
Personal life
On November 20, 1937, Caffery, then 41 years old, married Gertrude McCarthy of Evansville, Indiana, while in Rio de Janeiro. They had no children. He retired with his wife in 1955 to reside in Rome, where he was the honorary private chamberlain to Popes Pius XII, Pope John XXIII, and Paul VI. He returned to Lafayette in 1973, shortly before Mrs. Caffery's death on July 13, 1973. Caffery himself died on April 14, 1974. The Cafferys are buried behind St. John’s Cathedral in Lafayette.