Plasma entities, known as magnetosheath jets, with higher dynamic pressure than the surrounding plasma, are often seen at Earth. They generate waves and contribute to energy transfer in the magnetosheath. Affecting the magnetopause, they cause surface waves and transfer energy into the magnetosphere, causing throat auroras and magnetic signatures detectable on the ground. We show that jets exist also beyond Earth's environment in the magnetosheath of Mars, using data obtained by the MAVEN spacecraft. Thus, jets can be created also at Mars, which differs from Earth by its smaller bow shock, and they are associated with an increased level of magnetic field fluctuations. Jets couple large and small scales in magnetosheaths in the solar system and can play a similar part in astrophysical plasmas.