Turbulence is ubiquitous in space and astrophysical plasmas, such as the solar wind, planetary magnetospheres, and the interstellar medium. It plays a key role in converting electric and magnetic energies into kinetic energy of the plasma particles. Here, the properties of MHD and kinetic-scale magnetic fluctuations in the Mercury environment are investigated using data collected by the MESSENGER spacecraft from 2011 March 23 to 2015 April 28. It is found that spectral indices at MHD scales vary from ∼−5/3 in the near-Planet solar wind (possibly the foreshock) to ∼−1.3 within the magnetosheath close to bow shock. The spectra steepen further in the magnetosheath close to magnetopause, and reach ∼−2.2 within the magnetosphere. Only 15% of events were found to have the Kolmogorov scaling ∼−5/3 in the magnetosheath. The high variability of the spectral indices implies that the scaling of turbulent fluctuations in the magnetosheath is not universal, and it emphasizes the role of the bow shock on the turbulence dynamics, at least at the largest scales. Analysis of the magnetic compressibility shows that only ∼30% of events with Kolmogorov inertial range in the magnetosheath are dominated by (shear) Alfvénic fluctuations, which contrasts with well-known features of solar wind turbulence. At kinetic scales, the steepest spectra (slopes ∼−2.8) occur in the solar wind, before flattening to ∼−2 near the bow shock, then steepening again to ∼−2.8 in the magnetosheath. The spectral indices at kinetic scales are close to the ones at large scales in the magnetosphere, which may be caused by the presence of heavy ions in the latter. The statistical results are compared with previous observations reported in other planetary plasma environments.