Let n ≥ 1 denote an integer and let n - 1 < α ≤ n: We consider an initial value problem for a nonlinear Caputo fractional differential equation of order α and obtain results analogous to well known results for initial value problems for ordinary differential equations. These results include Picard’s existence and uniqueness theorem, Peano’s existence theorem, extendibility of solutions to the right, maximal intervals of existence, a Kamke type convergence theorem, and the continuous dependence of solutions on parameters. The nonlinear term is assumed to depend on higher order derivatives and solutions are obtained in the space of n - 1 times continuously differentiable functions.