A method of manufacturing a bearing device for a wheel, the method including forming an inner shaft so that an outside diameter of the inner shaft at a first portion is smaller than an outside diameter of the inner shaft at a second portion which is adjacent to the first portion, the peripheral surface of the inner shaft at the first portion is to be heat-treated, and the peripheral surface of the inner shaft at the second portion is not to be heat-treated, and the first portion has a predetermined length in an axial direction, and heat-treating the peripheral surface of the inner shaft at the first portion, and finishing a peripheral surface of the inner shaft by lathe turning whereby a step is not formed at a border between the first portion and the second portion.