We report the results of an extensive search in the AGILE data for a gamma-ray counterpart of the LIGO gravitational wave event GW150914. Currently in spinning mode, AGILE has the potential of covering with its gamma-ray instrument 80 % of the sky more than 100 times a day. It turns out that AGILE came within a minute from the event time of observing the accessible GW150914 localization region. Interestingly, the gamma-ray detector exposed about 65 % of this region during the 100 s time intervals centered at -100 s and +300 s from the event time. We determine a 2-sigma flux upper limit in the band 50 MeV - 10 GeV, $UL = 1.9 times 10^{-8} rm , erg , cm^{-2} , s^{-1}$ obtained about 300 s after the event. The timing of this measurement is the fastest ever obtained for GW150914, and significantly constrains the electromagnetic emission of a possible high-energy counterpart. We also carried out a search for a gamma-ray precursor and delayed emission over timescales ranging from minutes to days: in particular, we obtained an optimal exposure during the interval -150 / -30 s. In all these observations, we do not detect a significant signal associated with GW150914. We do not reveal the weak transient source reported by Fermi-GBM 0.4 s after the event time. However, even though a gamma-ray counterpart of the GW150914 event was not detected, the prospects for future AGILE observations of gravitational wave sources are decidedly promising.