A wheel bearing apparatus incorporating a wheel speed detecting apparatus and a method for manufacturing the wheel bearing apparatus has a wheel speed detecting apparatus (21) with a sensor holder (22). The sensor holder (22) includes a steel annular fitting ring (24) to be fit onto the end of the outer member (4). A holding portion (25) of plastic resin is integrally molded with the annular fitting ring (24). A wheel speed sensor (26) is embedded in the resin. An inboard side seal (11) of the seals (11, 12) is arranged between the sensor holder (22) and the outer joint member (14). The maximum diameter of the sensor holder (22) and the constant velocity universal joint (3) is smaller than the inner diameter of the knuckle (N).