The Caledonian Road runs about a mile and a half north-south through the London Borough of Islington. It connects North London, starting at Camden Road near the junction with Holloway Road, and central London's Pentonville Road in the south. It is often known colloquially as the "Cally" and forms the entirety of the A5203.
The Battle Bridge and Holloway Road Co. built it privately in 1826 as a toll road by to link the New Road with Holloway Road (which is part of the Great North Road), providing a new link to the West End from the north. It was first known as Chalk Road but changed its name after the Royal Caledonian Asylum, for the children of poor exiled Scots, was built here in 1828. (This building has since been demolished. It occupied the site of local authority housing called the Caledonian Estate built 1900-7.)
More information on the Wikipedia page [1]
See also Caledonian Road Station and Caledonian Road and Barnsbury Station.