A vehicle wheel bearing apparatus has an outer member (10), an inner member (1) and double row rolling elements (6, 6) freely rollably arranged between the outer and inner raceway surfaces (10a, 10a; 2a, 3a), respectively, of the outer and inner members (10 and 1), via cages (7). An annular projection (12) is formed on the outer circumferential surface at an inboard side end of the cylindrical portion (2b) of the wheel hub (2). An annular recess (13) is formed on the inner circumferential surface at the inboard side end of the inner ring (3). The annular recess (13) corresponds to the annular projection (12) and has a difference in height slightly larger than that of the annular projection (12). The inner ring (3) is press fit onto the cylindrical portion (2b) of the wheel hub (2) with the recess (13) engaged by the projection (12).