A wheel bearing assembly has a disk rotor for a brake integrally formed with a wheel-mounting flange of an inner member. Raceways opposite double-row raceways of the outer member are arranged on separate ring members pressed onto a tubular portion of the inner member. Thus, it is unnecessary to mount a brake rotor to the wheel bearing assembly, to reduce the number of parts, and to use different materials for the inner member and the inner ring members. For example, an FC-family cast iron, which is superior in seizure resistance, can be used for the inner member, and a tough bearing steel can be used for the ring member to achieve both excellent brake function and bearing function.