A color wheel assembly includes a carrier, a color filter assembly mounted coaxially on the carrier and formed by a plurality of annularly arranged filter segments, and a connecting unit including a plurality of annularly arranged limiting pieces connected respectively to the filter segments, and a limiting groove for receiving the limiting pieces. Each limiting piece has opposite first and second radial end faces, an inner face interconnecting the radial end faces, an outer face interconnecting the radial end faces and extending outwardly of the inner face, and a passage extending between the inner and outer faces and extending through the radial end faces. A press cover is connected to the carrier to press the filter segments against the carrier.