Derivatives and integrals of non-integer order were introduced more than three centuries ago, but only recently gained more attention due to their application on nonlocal phenomena. In this context, the Caputo derivatives are the most popular approach to fractional calculus among physicists, since differential equations involving Caputo derivatives require regular boundary conditions. Motivated by several applications in physics and other sciences, the fractional calculus of variations is currently in fast development. However, all current formulations for the fractional variational calculus fail to give an Euler-Lagrange equation with only Caputo derivatives. In this work, we propose a new approach to the fractional calculus of variations by generalizing the DuBois-Reymond lemma and showing how Euler-Lagrange equations involving only Caputo derivatives can be obtained.