English isn't my first language so I'm maybe wrong but here what I get from the song :
I think that when he says "Caravan's lost" he is talking about some guy (maybe himself) who got separated from the caravan. Here the caravan is a metaphor of the life of society, that you got to fit in and move along with it as it evolves or you'll be lost. The fact that you got to fit in put you in some kind of pressure (the weight of it), some fear to be alone and lost, and it always comes back to you ("the caravan comes back for me")
But again this is the first idea that pops out of my head about the song, I didn't really thought it through.
English isn't my first language so I'm maybe wrong but here what I get from the song :
I think that when he says "Caravan's lost" he is talking about some guy (maybe himself) who got separated from the caravan. Here the caravan is a metaphor of the life of society, that you got to fit in and move along with it as it evolves or you'll be lost. The fact that you got to fit in put you in some kind of pressure (the weight of it), some fear to be alone and lost, and it always comes back to you ("the caravan comes back for me")
But again this is the first idea that pops out of my head about the song, I didn't really thought it through.