In the solar wind, power spectral density (PSD) of the magnetic field fluctuations generally follow the so-called Kolmogorov spectrum f ^-5/3 in the inertial range, where the dynamics is thought to be dominated by nonlinear interactions between counter-propagating incompressible Alfvén wave parquets. These features are thought to be ubiquitous in space plasmas. The present study gives a new and more complex picture of magnetohydrodynamic (MHD) turbulence as observed in the terrestrial magnetosheath. The study uses three years of in situ data from the Cluster mission to explore the nature of the magnetic fluctuations at MHD scales in different locations within the magnetosheath, including flanks and subsolar regions. It is found that the magnetic field fluctuations at MHD scales generally have a PSD close to f ^-1 (shallower than the Kolmogorov one f ^-5/3) down to the ion characteristic scale, which recalls the energy-containing scales of solar wind turbulence. The Kolmogorov spectrum is observed only away from the bow shock toward the flank and the magnetopause regions in 17% of the analyzed time intervals. Measuring the magnetic compressibility, it is shown that only a fraction (35%) of the observed Kolmogorov spectra was populated by shear Alfvénic fluctuations, whereas the majority of the events (65%) was found to be dominated by compressible magnetosonic-like fluctuations, which contrasts with well-known turbulence properties in the solar wind. This study gives a first comprehensive view of the origin of the f ^-1 and the transition to the Kolmogorov inertial range; both questions remain controversial in solar wind turbulence.