A rolling bearing assembly equipped with an electric power generator, having: inner and outer members rotatable relative to each other through rolling elements; an electric power generator including a multi-pole magnet assembly mounted on one of the inner and outer members and having a plurality of alternating magnetic poles arranged in a circumferential direction, and a magnetic ring assembly mounted on the remaining one of the inner and outer members and accommodating a coil and confronting the multi-pole magnet assembly; the magnetic ring assembly including a stepped portion of a generally U-shaped section having a peripheral surface portion and an end face portion, said stepped portion being defined on an outer periphery or an inner periphery of one end of the magnetic ring assembly, the magnetic ring assembly being mounted on the remaining one of the inner and outer members with the peripheral surface portion of the stepped portion press-fitted directly onto a peripheral surface of the remaining one of the inner and outer members within a bearing space.