This wheel support bearing assembly includes an outer member, an inner member, and a plurality of rows of rolling elements between opposed rolling surfaces in both members. At least one sensor unit is provided on the outer diametric surface of the outer member, which is stationary. The sensor unit is made up of a strain generating member having two or more contact fixing segments adapted to be fixed to an outer diametric surface of the outer member in contact therewith and a sensor fitted to the strain generating member for detecting a strain induced in this strain generating member. A groove is provided in the outer diametric surface of the outer member at a location adjacent to the neighboring two contact fixing segments of the sensor unit.