A diode is a nonn-linear device – it has approximately linear behaviour in forward bias, and is essentially open circuit in reverse bias. There is a huge non-linearity at the zero bias point.
Take a sine wave and rectify it with a diode. Now you have a half wave waveform. This waveform contains lots of harmonics because it is a mixture of the original sine wave and a square wave (you have effectively got a square wave which switches the sine wave on and off). The square wave contains lots of harmonics and the process of mixing waveforms retains the harmonics.
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