A key requirement for caves is solid substance: while there may be rock cores inside the giant planets, the rest is liquid or gas. Metallic hydrogen may be solid or liquid in Jupiter, but presumably the pressure is high enough to prevent cave formation. So no for Jupiter, Saturn, Uranus and Neptune.
A second requirement is some factor digging cavities. On Earth water, chemical erosion and lava are factors.
The terrestrial planets have solid substance and not too extreme gravity. There are suspected "cave skylights" seen on Mars. Lava tubes are expected on Venus. Mercury volcanism was very different, but lava tubes may have existed. There are also weird hollows.
That leaves Pluto. Pluto has had cryovolcanism, so it is not implausible that "lava tubes" have been dug by molten water and ammonia.
As a bonus: smaller asteroids are often "rubble piles" of rocks loosely held together. It is not hard to imagine that there are empty spaces between big rocks that could count as caves. Same for comets, where evaporation of ice may contribute to making cave-like structures.