Warn, forewarn, caution can mean to let one know of approaching or possible danger or risk.
Warn is the most comprehensive of these terms; in most of its senses it stresses a timely notification that makes possible the avoidance of a dangerous or inconvenient situation.
Additionally, the word may carry an implication of admonition or of exhortation or of threats of punishment, reprisal, or personal violence.
Forewarn carries a stronger implication of advance notification than warn and may also suggest impending though not imminent danger or peril.
Caution commonly emphasizes advice that puts one on one’s guard or that suggests precautions.