Kinetic scale magnetic dips (KSMDs), with a significant depression in magnetic field strength, and scale length close to and less than one proton gyroradius, were reported in the turbulent plasmas both in recent observation and numerical simulation studies. These KSMDs likely play important roles in energy conversion and dissipation. In this study, we present observations of the KSMDs that are labeled whistler mode waves, electrostatic solitary waves, and electron cyclotron waves in the magnetosheath. The observations suggest that electron temperature anisotropy or beams within KSMD structures provide free energy to generate these waves. In addition, the occurrence rates of the waves are higher in the center of the magnetic dips than at their edges, implying that the KSMDs might be the origin of various kinds of waves. We suggest that the KSMDs could provide favorable conditions for the generation of waves and transfer energy to the waves in turbulent magnetosheath plasmas. Plain Language Summary The Earth's magnetosheath is a turbulent plasma environment where energy conversion, particle acceleration, and mass and momentum transport take place. Many of these key processes involve kinetic-scale physics. However, in-depth studies from previous missions are limited by their lower spacecraft data resolution. The recent Magnetospheric Multiscale (MMS) mission provides us with a large amount of high-temporal cadence data for studying kinetic-scale physics in the magnetosheath. In this study, we report whistler mode waves, electrostatic solitary waves and electron cyclotron waves within kinetic-scale magnetic dips (KSMDs) that can be generated in the turbulent magnetosheath. These waves could be excited by electron temperature anisotropy or beams. As is well known, plasma waves are important processes in converting energy, accelerating and scattering electrons and ions, and modifying the distributions of charged particles. If plasma instabilities develop within the KSMDs, the resulting waves could absorb free energy from plasma particles and may propagate out of the KSMDs. Thus, our discoveries could significantly advance the understanding of energy conversion and dissipation for kinetic-scale turbulence. This study provides a new reference not only for observations in space physics but also for related basic plasma theories and numerical simulations.