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Magnetosheath jets are localized dynamic pressure enhancements in the magnetosheath. We make use of the high time resolution burst mode data of the Magnetospheric Multiscale mission for an analysis of waves in plasmas associated with three magnetosheath jets. We find both electromagnetic and electrostatic waves over the frequency range from 0 to 4 kHz that can be probed by the instruments on board the MMS spacecraft. At high frequencies we find electrostatic solitary waves, electron acoustic waves, and whistler waves. Electron acoustic waves and whistler waves show the typical properties expected from theory assuming approximations of a homogeneous plasma and linearity. In addition, 0.2 Hz waves in the magnetic field, 1 Hz electromagnetic waves, and lower hybrid waves are observed. For these waves the approximation of a homogeneous plasma does not hold anymore and the observed waves show properties from several different basic wave modes. In addition, we investigate how the various types of waves are generated. We show evidence that, the 1 Hz waves are connected to gradients in the density and magnetic field. The whistler waves are generated by a butterfly-shaped pitch-angle distribution and the electron acoustic waves by a cold electron population. The lower hybrid waves are probably generated by currents at the boundary of the jets. As for the other waves we can only speculate about the generation mechanism due to limitations of the instruments. Studying waves in jets will help to address the microphysics in jets which can help to understand the evolution of jets better.