A wheel speed detecting apparatus incorporated with a wheel bearing apparatus. The wheel speed detecting apparatus has an encoder, and an annular sensor holder arranged opposite to the encoder. The sensor holder has an annular fitting member formed from a steel plate. A holding portion is integrally molded with the annular fitting member. A wheel speed sensor is arranged opposite to the encoder. Several substantially circular arc notches are formed on the outer circumference of the holding portion so that portions of the periphery of the annular fitting member are exposed from the holding portion.