The acceleration of particles up to GeV or higher energies in microquasars has been the subject of considerable theoretical and observational efforts in the past few years. Sco X-1 is a microquasar from which evidence of highly energetic particles in the jet has been found when it is in the so-called Horizontal Branch (HB), a state when the radio and hard X-ray fluxes are higher and a powerful relativistic jet is present. Here we present the first very high energy gamma-ray observations of Sco X-1 obtained with the MAGIC telescopes. An analysis of the whole dataset does not yield a significant signal, with 95% CL flux upper limits above 300 GeV at the level of 2.4x10^{-12} ph/cm^2/s. Simultaneous RXTE observations were conducted to search for TeV emission during particular X-ray states of the source. A selection of the gamma-ray data obtained during the HB based on the X-ray colors did not yield a signal either, with an upper limit of 3.4x10^{-12} ph/cm^2/s. These upper limits place a constraint on the maximum TeV luminosity to non-thermal X-ray luminosity of L_{VHE}/L_{ntX}<0.02, that can be related to a maximum TeV luminosity to jet power ratio of L_{VHE}/L_{j}<10^{-3}. Our upper limits indicate that the underlying high-energy emission physics in Sco X-1 must be inherently different from that of the hitherto detected gamma-ray binaries.