We present the first observations of electron cyclotron harmonic waves at the Earth's bow shock from STEREO and Wind burst waveform captures. These waves are observed at magnetic field gradients at a variety of shock geometries ranging from quasi‐parallel to nearly perpendicular along with whistler mode waves, ion acoustic waves, and electrostatic solitary waves. Large amplitude cyclotron harmonic waveforms are also observed in the magnetosheath in association with magnetic field gradients convected past the bow shock. Amplitudes of the cyclotron harmonic waves range from a few tens to more than 500 mV/m peak‐peak. A comparison between the short (15 m) and long (100 m) Wind spin plane antennas shows a similar response at low harmonics and a stronger response on the short antenna at higher harmonics. This indicates that wavelengths are not significantly larger than 100 m, consistent with the electron cyclotron radius. Waveforms are broadband and polarizations are distinctively comma‐shaped with significant power both perpendicular and parallel to the magnetic field. Harmonics tend to be more prominent in the perpendicular directions. These observations indicate that the waves consist of a combination of perpendicular Bernstein waves and field‐aligned waves without harmonics. A likely source is the electron cyclotron drift instability which is a coupling between Bernstein and ion acoustic waves. These waves are the most common type of high‐frequency wave seen by STEREO during bow shock crossings and magnetosheath traversals and our observations suggest that they are an important component of the high‐frequency turbulent spectrum in these regions.