It is Caggiano's first Christmas in the diocese, which covers all of Fairfield County.
The cathedral is located at 399 Washington Ave. in Bridgeport.
The Mass will be Solemnity of the Nativity of the Lord with organ and choir. Caggiano will be the main celebrant.
"In this season of hope, may the peace of God be with you as we celebrate our Savior's birth and the light He has brought into this world. Wishing you and your family all the joy, warmth, and gladness of Christmas and a blessed new year," Caggiano said in a statement to the nearly 400,000 Roman Catholics in the diocese.
He was appointed in July by Pope Francis and officially installed as bishop in a Mass in September.
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