A sensor-incorporated wheel support bearing assembly includes a stationary outer member having a plurality of raceway grooves defined in an inner peripheral surface thereof, an inner member made up of a rotatable hub axle and an inner race segment mounted on an inboard end portion of the hub axle with a vehicle wheel being supported by the hub axle. The inner member has a corresponding number of raceway grooves defined in the hub axle and the inner race segment, respectively. Rows of rolling elements are interposed between the outer member 1 and the inner member. A to-be-detected member in the form of a magnetostrictive element is formed in a portion of the outer periphery of the hub axle adjacent an inboard side and remote from the raceway groove. At least one force detecting unit for detecting a change in magnetic strain induced in the to-be-detected member is provided in an outer race, which is a non-rotatable member, for detecting a force acting on a shaft coupled with the inner member.