A wheel bearing apparatus has an outer member, an inner member and double row rolling elements. A pulser ring is fit onto the inner ring. A second cap is fit on the inboard-side end of the outer member. A rotational speed sensor is mounted on the second cap. A cup-shaped first cap is press-fit into the inner circumference of an inboard-side end of the outer member. The first cap has a cylindrical fitting portion press-fit into the outer member. A disk portion extends radially inward from the fitting portion. The sensor abuts the disk portion. The second cap is press-fit into the inner circumference of an inboard-side end of the outer member via a predetermined interference.