In this work, we aim to explore whether a novel type of fractional space can be defined using Orlicz spaces and fractional calculus. This inquiry is fruitful, as extending classical results to new contexts can lead to a better and deeper understanding of those classical results. Our main objective is to introduce a new fractional Caputo-derivative Orlicz space, denoted by $\mathcal{O}^{α,G}(Λ, \mathbb{R}) $. We are interested in several qualitative properties of this space, such as reflexivity, completeness, and separability. Additionally, we establish a continuous embedding results of this space into a suitable Orlicz space and the space of continuous functions. As an application, we use the mountain-pass theorem (MPT) to ensure the existence of a nontrivial weak solution for a new class of fractional-type problems in Orlicz space.