To provide a wheel bearing device in a first/second generation structure which is set at a predetermined negative clearance with preload imparted thereto, and to provide its assembling method for allowing accurate and stable management of a bearing preload amount.

In such processes that an inner ring 7 on the outer side is pressed in a small-diameter step portion 4 of a hub ring 1, an outward member 6 having a double-row ball groups 8, 8 internally fitted to outside rolling surfaces 6a, 6b is externally fitted to the inner ring 7 on the outer side, and an inner ring 7 on the inner side is pressed in the small-diameter step portion 4, press-in work is stopped once in the state that the axial clearance of a bearing is positive, and an axial size T0 between the reference faces of the hub ring 1 and the inner ring 7 on the inner side and an initial axial clearance δ0 are measured in this state. After press-in work is further continued until finishing press-in, an axial size T1 between the reference faces of the hub ring 1 and the inner ring 7 on the inner side is measured and an axial clearance δ1 in this state is found in accordance with an expression δ1=δ0-(T0-T1).

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