We define a new Caputo fractional differential equation of higher-order on unbounded interval \( \textstyle\begin{cases} ^{c}D^{\alpha }w(t)=f(t),\ 0\leq t< \infty ,\ &\quad \\ w(0)=w'(0)=w^{(4)}(0)=w^{(5)}(0)=\cdots =w^{(n)}(0)=0,\ &\quad \\ w'''(0)=\int _{0}^{\eta } \frac{(\eta -s)^{\alpha -1}}{\Gamma (\alpha )}f(s)ds,\ \displaystyle { \lim _{t\rightarrow \infty }}^{c}D^{\alpha -1}w(t)=w(\xi ),\ 0< \eta < \xi < t. &\quad \end{cases} \) Also, we introduce a new family of measures of noncompactness in Hölder space $C^{0,q}(\Omega )$ and we state a version of fixed point theorem of Darbo’s type. Then we study the existence of solutions of new Caputo fractional differential equation in Hölder space by using version of Darbo’s fixed point theorem associated with this new measure of noncompactness. An example is given to demonstrate application of our results.