In this paper we show how wavelets originating from multiresolution analysis of scale N give rise to certain representations of the Cuntz algebras O-N, and conversely how the a wavelets can be recovered from these representations, The representations are given on the Hilbert space L-2(T) by (S-i xi) (z) = m(i) (Z)xi(z(N)). We characterize the Wold decomposition of such operators. If the operators come from wavelets they are shifts, and this can be used to realize the representation on a certain Hardy space over L-2 (T). This is used to compare the usual scale-2 theory of wavelets with the scale-N theory. Also some other representations of O-N Of the above form called diagonal representations are characterized and classified up to unitary equivalence by a homological invariant.