  The simultaneous presence of a Fe-related spin-density wave and
antiferromagnetic order of Eu$^{2+}$ moments ranks EuFe$_2$As$_2$ among the
most interesting parent compounds of iron-based pnictide superconductors. Here
we explore the consequences of the dilution of Eu$^{2+}$ magnetic lattice
through on-site Ca substitution. By employing macro- and microscopic
techniques, including electrical transport and magnetometry, as well as
muon-spin spectroscopy, we study the evolution of Eu magnetic order in both the
weak and strong dilution regimes, achieved for Ca concentration $x(\mathrm{Ca})
= 0.12$ and 0.43, respectively. We demonstrate the localized character of the
Eu antiferromagnetism mediated via RKKY interactions, in contrast with the
largely itinerant nature of Fe magnetic interactions. Our results suggest a
weak coupling between the Fe and Eu magnetic sublattices and a rapid decrease
of the Eu magnetic interaction strength upon Ca substitution. The latter is
confirmed both by the depression of the ordering temperature of the Eu$^{2+}$
moments, $T_\mathrm{N}$, and the decrease of magnetic volume fraction with
increasing $x(\mathrm{Ca})$. We establish that, similarly to the EuFe$_2$As$_2$
parent compound, the investigated Ca-doped compounds have a twinned structure
and undergo a permanent detwinning upon applying an external magnetic field.
