1580s, "a horseman," especially if armed, from Italian cavalliere "mounted soldier, knight; gentleman serving as a lady's escort," from Late Latin caballarius "horseman," from Vulgar Latin caballus, the common Vulgar Latin word for "horse" (and source of Italian cavallo, French cheval, Spanish caballo, Irish capall, Welsh ceffyl), displacing Latin equus (from PIE root *ekwo-).
In classical Latin caballus was "work horse, pack horse," sometimes, disdainfully, "hack, nag." This and Greek kaballion "workhorse," kaballes "nag" probably are loan-words, perhaps from an Anatolian language. The same source is thought to have yielded Old Church Slavonic kobyla.
The sense was extended in Elizabethan English to "a knight; a courtly gentleman," but also, pejoratively, "a swaggerer." Meaning "Royalist, adherent of Charles I" is from 1641.