The present study was aimed to explore the possible mechanisms by which caprine Wharton’s jelly-derived MSCs (WJ-MSCs) perform their immunomodulatory function. WJ-MSCs were isolated through explants culture and characterized as per ISCT criteria using culture behavior, expression of surface markers by PCR, FACS and immunocytochemical localization (ICC), trilineage differentiation potential etc. Secretory behavior for important biomolecules (IDO, TGFβ1, VEGF, IL6) was evaluated by ICC and western blot assay. Cell-to-cell communication was studied by culturing cells in cell–cell contact and trans-well system. The MSCs when co-cultured with activated Tc and Th cells, down-regulation of T cell cytokine as well as upregulation of immunomodulatory factors (VEGF A, IL10, IL6, IDO, iNOS, PTGS2, HGF, TGFβ, CXCL10, CXCL11) was noticed in both cell–cell contact and trans-well culture system which was significantly higher in cell–cell contact system. Trilineage differentiation of MSCs showed significant upregulation of MHC I (CAHI) and MHC II (CLA DRB3) molecules suggesting better clinical applications of MSCs without differentiation to avoid immune rejection. It can be concluded that WJ-MSCs perform their immunomodulation through the secretion of a battery of biomolecules and work in both cell–cell contact manner and through their secretome.