Results are presented from a semi-coherent search for continuous gravitational waves from the brightest low-mass X-ray binary, Scorpius X-1, using data collected during the first Advanced LIGO observing run (O1). The search combines a frequency domain matched filter (Bessel-weighted F-statistic) with a hidden Markov model to track wandering of the neutron star spin frequency. No evidence of gravitational waves is found in the frequency range 60-650 Hz. Frequentist 95% confidence strain upper limits, h95%0=4.0×10−25, 8.3×10−25, and 3.0×10−25 for electromagnetically restricted source orientation, unknown polarization, and circular polarization, respectively, are reported at 106 Hz. They are ≤10 times higher than the theoretical torque-balance limit at 106 Hz.