To provide a method of manufacturing a rolling bearing unit keeping excellent supporting accuracy of rotating bodies for braking such as a wheel and a disc rotor, even in a structure for welding and fixing a reinforcing member 4A to an outer ring member 2A.

After welding both end parts of the reinforcing member 4A to a rotating side flange 7A and an outer peripheral surface of the outer ring member 2A, an axial direction outside face of the rotating side flange 7A and an outer peripheral surface of a cylinder part 12 are finished. By eliminating influence of distortion accompanying the welding, the supporting accuracy of the rotating bodies for braking such as the wheel and the disc rotor can be improved.