Solar wind magnetic holes are localized depressions of the magnetic field strength, on time scales of seconds to minutes. We use Cluster multipoint measurements to identify 26 magnetic holes which are observed just upstream of the bow shock and, a short time later, downstream in the magnetosheath, thus showing that they can penetrate the bow shock and enter the magnetosheath. For two magnetic holes we show that the relation between upstream and downstream properties of the magnetic holes are well described by the MHD Rankine-Hugoniot jump conditions. We also present a small statistic investigation of the correlation between upstream and downstream observations of some properties of the magnetic holes. The temporal scale size, and magnetic field rotation across the magnetic holes are very similar for the upstream and downstream observations, while the depth of the magnetic holes varies more. The results are consistent with the interpretation that magnetic holes in Earth's and Mercury's magnetosheath are of solar wind origin, as has earlierly been suggested. Since the solar wind magnetic holes can enter the magnetosheath, they may also interact with the magnetopause, representing a new type of localised solar wind-magnetosphere interaction.