Preheat oven to 350°F (175°C) and grease a 9×13-inch baking pan.
In a large mixing bowl, combine the cake mix, water, vegetable oil, and eggs. Beat until smooth and well combined.
Pour the batter into the prepared pan, spreading evenly. Bake for 30-35 minutes or until a toothpick inserted into the center comes out clean. Once baked, remove from the oven and let cool for 5 minutes.
In another bowl, whisk the sweetened condensed milk with 1/2 cup of caramel sauce until smooth.
Using a wooden spoon handle, poke holes in the cake at 1-inch intervals. Pour the caramel mixture over the cake, ensuring it seeps into the holes.
In a separate bowl, whip the softened butter until creamy, then gradually add powdered sugar, milk, and remaining caramel sauce, mixing until smooth.
Fold in the chopped pecans and shredded coconut. Spread the frosting over the cake and refrigerate for 1-2 hours before serving.