The curious thing about Celtic history is that it cannot be easily seperated from Celtic myth.
Caractacus appears in the Mabinogion as Caradoc or Caradawg ap Bran, the son of Bedigedfran ap Llyr, the god-like king of Britain who is mortally wounded but possess a cauldron of rebirth. This Caradawg is betrayed by Caswallawn ap Beli, a rival for the throne of Britain in the Roman era--according to the Britons. History, of course, is at odds with this.
According to the triads, this Caradawg was taken prisioner by Eurowyssod (the real-life general and governor Ostorius, who defeated the real Caractacus), along with his father and grandfather, King Llyr (King Lear). Once in Rome, according to the triads, the three were converted to Christianity, and once released, brought the religion back to Britain. This is obviously a later confusion with the Joseph of Arimathia legend, wherein Joseph is imprisoned by the Roman emperor Valerian, only to be given the cup of the last supper and be released (c.f. Gospel of Nicodemus). Robert de Boron's Le Roman du Graal later had Joseph traveling to Britain with his brother-in-law Brons, who became the Fisher King of the grail legend. This Brons is of course Bran (Bedigedfran).
Upon returning to Britain, Caradawg's aunt Branwen is married to the king of Ireland, touching off the events of "Branwen uerch Llyr" in The Mabinogion. While his father is at war in Ireland, Caradawg and his companions hide from the usurper Caswallawn, who dons a magic invisibility cloak and kills his companions. Caradawg dies of a broken heart from all the destruction, and thus Caswallawn becomes king of Britain, as King Bendigedfran is now dead also.
The real Caswallawn--Cassibellanus--actually lived about a hundred years earlier, and was the chieftain who lost to Julius Caesar. And as we can see from the above w/u, we know what happened to poor Caractacus.