To provide a wheel support bearing assembly designed to avoid an ingress of foreign matter from an area, where a sensor is fitted, into the inside of the bearing assembly. The wheel support bearing assembly includes an outer member (1) adapted to be secured to a vehicle body structure, an inner member (2) adapted to support a vehicle wheel, and circular rows of rolling elements (3) interposed between the outer and inner members (1,2). A sensor cap (13) is provided for closing an inboard end of the outer member (1) and has an insert nut (15) embedded therein. The sensor cap (13) is also provided with a reduced diameter hole (23), in which an elastic sealing member (25) is interposed under interference fit between it and a deep end face of the insert nut (15).