The occurrence of shocks in the confined three‐dimensional turbulent mixing layer at convective Mach number 1.2 is established by means of direct numerical simulations. The shocks are generated by the turbulent motions in the flow. Consequently, they can have different shapes and orientations, while they persist for a relatively short time. Furthermore, they are created by different types of turbulent vortices. The shocks do not strongly contribute to the turbulent dissipation. Even at the time when the largest shocks occur, the fraction of the turbulent dissipation due to the shocks is less than 10%.