Do Caterpillar's give birth

A caterpillar can't be pregnant because it is the larval form of Leidoptera, the four-winged insects called butterflies and moths.

When the caterpillar is full-grown it spins itself into a cocoon (pupa, or chrysalis), where it changes (metamorphoses) into its final insect form, or imago. The butterfly or moth then breaks free of the chrysalis and, after allowing its wings to inflate and dry, which usually takes one to three hours, depending on species, it flies off in search of food (mainly nectar, and pollen) and a mate.

After mating, the butterfly or moth lays its eggs, usually on a plant, sticking them in place with a glue it manufactures.

From these eggs, in a few weeks or in some cases after winter is over, the caterpillars hatch out, and the whole cycle begins again.

Questions such as, 'where do caterpillars lay their eggs?', are frequently used as trick questions, just like 'where do peacocks lay their eggs?' because there is no answer: caterpillars don't lay eggs because they aren't adults, and it's the peahens which lay eggs: the peacocks are the male birds.