We present the results of a Bayesian search for gravitational wave (GW) memory in the NANOGrav 12.5 yr data set. We find no convincing evidence for any gravitational wave memory signals in this data set. We find a Bayes factor of 2.8 in favor of a model that includes a memory signal and common spatially uncorrelated red noise (CURN) compared to a model including only a CURN. However, further investigation shows that a disproportionate amount of support for the memory signal comes from three dubious pulsars. Using a more flexible red-noise model in these pulsars reduces the Bayes factor to 1.3. Having found no compelling evidence, we go on to place upper limits on the strain amplitude of GW memory events as a function of sky location and event epoch. These upper limits are computed using a signal model that assumes the existence of a common, spatially uncorrelated red noise in addition to a GW memory signal. The median strain upper limit as a function of sky position is approximately 3.3 × 10−14. We also find that there are some differences in the upper limits as a function of sky position centered around PSR J0613−0200. This suggests that this pulsar has some excess noise that can be confounded with GW memory. Finally, the upper limits as a function of burst epoch continue to improve at later epochs. This improvement is attributable to the continued growth of the pulsar timing array.