Today I looked into JTAG connectos and header and it was not my first time looking into this. But I discovered some things that are worth not to forget. There are tons of families of JTAG connectors.

• FTSH Male header for JTAG, but the header of the cable is bigger than the header. Is smaller.
• FFSD JTAG Cables family.
• SHF The best and most used JTAG Male header. It fits the cable perfectly.

The normal and most used combination:

• SHF-105-01-L-D-SM Header connector, an alternative 20021521-00010E1LF (is not the correct one, dont buy it)
• FFSD-05-D*, an alternative Adafruit 1675

Normally this connectors are really expensive, but there are similar cheaper. On mouser or digikey you can search for similar components.

EDIT: It has been very difficult to find those connectors, but I found them on Aliexpress with the name as DC3-6p. Like this ones