A wheel support bearing assembly includes an outer member inserted in a knuckle, an inner member made up of a hub axle, double rows of rolling elements, and a cover closing an opening of one end of the outer member. The cover includes a sensor connector and a sensor cap. A pulsar ring is mounted on the inner race and a rotation sensor is opposed to the pulsar ring and embedded in the sensor connector. The cover extends over an outer surface of the sensor connector. The cover has a cylindrical portion mounted in an inner peripheral surface of one end of the outer member, which end forms a pilot portion for the knuckle. The cylindrical portion of the cover has an outer periphery provided with an annular elastic member held in contact with an inner peripheral surface of the knuckle.