Cathode rays consist of
Electrons
Let's try to analyze the effect of Electric field and magnetic field on cathode rays:
Effect of electric field: When an electric field is applied to a stream of cathode rays, they get deflected towards the positive plate. It shows that cathode rays are themselves negatively charged.
Effect of magnetic field: When a magnetic field is applied perpendicular to the path of cathode rays, they get deflected in the direction expected for negative particles. This further confirms that cathode rays are negatively charged.
⇒ Therefore, we can conclude that cathode rays consist of electrons.