We present the first observations of large amplitude waves in a well-defined electron diffusion region at the sub-solar magnetopause using data from one THEMIS satellite. These waves identified as whistler mode waves, electrostatic solitary waves, lower hybrid waves and electrostatic electron cyclotron waves, are observed in the same 12-sec waveform capture and in association with signatures of active magnetic reconnection. The large amplitude waves in the electron diffusion region are coincident with abrupt increases in electron parallel temperature suggesting strong wave heating. The whistler mode waves which are at the electron scale and enable us to probe electron dynamics in the diffusion region were analyzed in detail. The energetic electrons (~30 keV) within the electron diffusion region have anisotropic distributions with T_{e⊥}/T_{e∥}>1 that may provide the free energy for the whistler mode waves. The energetic anisotropic electrons may be produced during the reconnection process. The whistler mode waves propagate away from the center of the 'X-line' along magnetic field lines, suggesting that the electron diffusion region is a possible source region of the whistler mode waves.