It stretched their unbeaten away run to 10 games, but they had to come from behind to achieve it despite being in control for long spells.
Striker Luke Williams fired Scunthorpe ahead in the 20th minute with only his second goal of the season after a well-worked move had opened up the visitors' defence.
But Wigan were back on level terms in the 34th minute thanks to a brilliant finish from the edge of the box by Michael Jacobs.
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And late in the game Jason Pearce was denied by a goal-line clearance from David Mirfin as Latics chased a winner.
"It was a really good team performance from us," said Caldwell.
"But for a bit more quality in the final third, we could have gone on and won it. That is the only disappointment.
"We got a lot of balls into their box but it was one of those days where it just would not drop for us.
"Even though we were the away team we were getting men forward looking for a winner.
"We have now taken seven points out of nine from the last three away games and any team that can do that has to have something about them.
"We are in a good place at the moment. We are playing with a great confidence in each other. And we are looking forward to the challenge ahead.
"We now have three home games coming up that could shape our season, starting with Gillingham. They are up there where we want to be, so it is a big game for us.
"But as always we will be focusing on how we want to play."
Scunthorpe are now without a win in their last five home games in the league, but manager Mark Robins was happy with his side's start to 2016 as they now begin to focus on an FA Cup third round trip to Chelsea next Sunday.
"I thought we were really good," he insisted. "Wigan have one of the strongest squads in this division but I thought we coped with them well.
"They are always a threat but I thought we defended brilliantly.
"We deserved to have our lead when it came along. It was a really well-worked goal.
"We tired a bit in the second half and lost some of our attacking momentum.
"A draw might be the fairest result, but I thought we could have nicked it.
"It's a good start to us to 2016. But now we have got to kick on and make sure the second half of the season is better for us than the first."
Before the game Scunthorpe announced the signing of centre back Murray Wallace from Huddersfield, who they had on loan earlier this season.
"The chairman has done well to bring him in because other clubs were interested," said Robins. "It sends out a message that we really want to go places as a club."
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