Here, we investigate single crystals of CaCo5As3 by means of single-crystal x-ray diffraction, microprobe, magnetic susceptibility, heat capacity, and pressure-dependent transport measurements. CaCo5As3 shares the same structure of CaFe4As3 with an additional Co atom filling a lattice vacancy and undergoes a magnetic transition at TM=16 K associated with a frustrated magnetic order. CaCo5As3 displays metallic behavior and its Sommerfeld coefficient (γ =70 mJ/mol K2) indicates a moderate enhancement of electron-electron correlations. Transport data under pressures to 2.5 GPa reveal a suppression of TM at a rate of -0.008 K/GPa. First-principles electronic structure calculations show a complex three-dimensional band structure and magnetic moments that depend on the local environment at each Co site. Our results are compared with previous data on CaFe4As3 and provide a scenario for a magnetically frustrated ground state in this family of compounds.