Caustics are phenomena in which nature concentrates the energy of waves and may exhibit rogue-type behavior. Although they are known mostly in optics, caustics are intrinsic to all wave phenomena. As we demonstrate in this Letter, the formation of caustics and consequently rogue events in linear systems requires strong phase fluctuations. We show that nonlinear phase shifts can generate sharp caustics from even small fluctuations. Moreover, in that the wave amplitude increases dramatically in caustics, nonlinearity is usually inevitable. We perform an experiment in an optical system with Kerr nonlinearity, simulate the results based on the nonlinear Schrödinger equation, and achieve perfect agreement. As the same theoretical framework is used to describe other wave systems such as large-scale water waves, our results may also aid the understanding of ocean phenomena.