A wheel support bearing assembly includes an outer member, an inner member and double row balls. The inner member includes a hub unit, which has a wheel mounting flange defined in an outer periphery thereof, and an inner ring mounted on the outer periphery of the inboard end of the hub unit. A shoulder is provided in an inner peripheral edge of the inboard end face of the inner ring. A crimped portion, engageable with a stepped face of the shoulder, is provided in the inboard end of the hub unit by diameter expansion. The crimped portion is formed by crimping such diameter expanded portion which is thin walled by providing a hub inner diameter setback in the inner periphery of the inboard end of the hub unit. This thin walled portion is positioned on a side inboardly of the straight line defining a ball contact angle in the inboard raceway surface.