Lévy flight models whose jumps have infinite moments are mathematically used to describe the superdiffusion in complex systems. Exponentially tempering Lévy measure of Lévy flights leads to the tempered stable Lévy processes which combine both the α-stable and Gaussian trends; and the very large jumps are unlikely and all their moments exist. The probability density functions of the tempered stable Lévy processes solve the tempered fractional diffusion equation. This paper focuses on designing the high order difference schemes for the tempered fractional diffusion equation on bounded domain. The high order difference approximations, called the tempered and weighted and shifted Grünwald difference (tempered-WSGD) operators, in space are obtained by using the properties of the tempered fractional calculus and weighting and shifting their first order Grünwald type difference approximations. And the Crank-Nicolson discretization is used in the time direction. The stability and convergence of the presented numerical schemes are established; and the numerical experiments are performed to confirm the theoretical results and testify the effectiveness of the schemes.Mathematics Subject Classification (2010): 26A33, 65M12, 65M06