An oil film bearing sleeve in a rolling mill with a key groove is provided to avoid wearing at a major boundary to cause loose of a key by preventing the movement of the key inside of a pocket reliably. An oil film bearing sleeve(8) in a rolling mill with a key groove includes a pocket and a key(16). The oil film bearing sleeve has a cylindrical external surface and a tapered inner surface. The key groove is formed in the tapered inside of the oil film bearing sleeve. The pocket is mechanically machined at the key groove. The key is received at the pocket by forcibly inserting and fitting between the external surface of the key and the inner surface of the pocket through being thermally guided.