A rolling bearing has components of an inner race, an outer race and rolling elements, one of the components being formed of an alloy steel containing 0.1-1.0 wt % of C, 0.1-1.5 wt % of Si, 0.1-1.5 wt % of Mn and 0.1-3.0 wt % of Cr, the alloy steel being carbonitrided and then ground to form a surface layer having a carbon and a nitrogen concentration of 0.6-1.5 wt % and 0.05-0.9 wt %, respectively. The surface layer has an appropriate amount of retained austenite .gamma..sub.R and is sufficiently hard to insure long life even under lubrication in the presence of foreign matter. By optimizing the choice of constituent materials, processing methods and heat treatments for each of the rolling elements and the inner and outer races, rolling bearings that have high performance can be produced at low cost.