A wheel support bearing assembly includes rolling elements interposed between double row rolling surfaces of outer and inner members, which are opposed to each other. Electronic components including a plurality of the sensor units, a signal processing IC for processing respective sensor output signals thereof and a signal cable for transmitting the processed output signal to the outside of the bearing assembly are arranged inwardly of an annular protective covering to provide an annular sensor assembly. The sensor assembly is fitted to a peripheral surface of a stationary member in a fashion coaxial with the stationary member.