To provide a wheel support bearing assembly capable of securing a satisfactory sealability and of accomplishing an assured press-fit of an magnetic encoder, the wheel support bearing assembly for supporting a vehicle wheel rotatably relative to a vehicle body structure includes an outer member 2, an inner member 1 positioned inside the outer member 2 with an annular bearing space delimited between it and the outer member 2, and rows of rolling elements 3 rollingly within the annular bearing space. At least one sealing unit 5 is provided for sealing one of opposite open ends of the annular bearing space. This sealing unit 5 is comprised in part of a magnetic encoder 10 including a multi-pole magnet member 14 having a plurality of opposite magnetic poles alternating in a direction circumferentially thereof and a first sealing plate 11 serving as a core metal. The first sealing plate 11 is press-fitted onto the inner member 1 with the amount of interference fit to be within the range of 5 to 230 .mu.m.