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What is the difference between them? They confuse me, please teach me how they are different.

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Cautious means (roughly) the same as "careful"

The prepositions have some of their usual meanings:

Be cautious with your trump cards.

You should be careful when using trump cards in a card game (since they are important). The word "with" implies the use of something

You are also careful of things that could be dangerous.

I am cautious of snakes since some of them can bite.

I don't use "with snakes" as I am not using them.

You can use "cautious in a location". For example "He is cautious in the forest." But also there is the "in doing" pattern, with a gerund:

Be cautious in signing a document.

Meaning you should be careful and not sign something that you haven't read. "Cautious about signing a document" also works here.

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