A bearing preload cage assembly for rotatably supporting an axially loaded shaft includes a bearing housing including stationary axially opposed supporting members, first and second axially spaced bearings, each including inner and outer races and rolling elements, first and second cylindrical cage segments coaxial with the shaft, each including a sleeve and circumferentially spaced axially protruding castellations, the outer races engageably received on an internal surface of their associated sleeve, the castellations of each cage segment proximate to and engageable with the outer race of the adjacent bearing, the supporting members proximate to and engageable with an adjacent cage segment, a resilient member biasing at least one of the outer races into full engagement with its rolling elements and, in turn, its rolling elements into full engagement with their inner race whereby the rolling elements of both bearings are maintained in full engagement with their inner and outer races continuously during shaft rotation.