Wheel bearing assembly for motor vehicles, the assembly being provided with a wheel hub and a bearing unit in turn provided with a radially outer ring and at least one radially inner ring provided, respectively, with a first raceway and at least one second raceway, with at least one row of rolling bodies arranged between the radially outer ring and the at least one radially inner ring, and with a cage for containing the at least one row of rolling bodies; the wheel bearing assembly is moreover provided with sealing means integrated in the cage and provided with at least two radial contact lips made of elastomeric material, with at least one first radial lip in contact with the radially inner ring and with at least one second radial lip in contact with the radially outer ring.