The photoluminescence intermittency (blinking) of quantum dots is interesting because it is an easily measured quantum process whose transition statistics cannot be explained by Fermi's golden rule. Commonly, the transition statistics are power-law distributed, implying that quantum dots possess at least trivial memories. By investigating the temporal correlations in the blinking data, we demonstrate with high statistical confidence that there is nontrivial memory between the on and off brightness duration data of blinking quantum dots. We define nontrivial memory to be statistical complexity greater than one. We show that this memory cannot be discovered using the transition distribution. We show by simulation that this memory does not arise from standard data manipulations. Finally, we conclude that at least three physical mechanisms can explain the measured nontrivial memory: (1) storage of state information in the chemical structure of a quantum dot; (2) the existence of more than two intensity levels in a quantum dot; and (3) the overlap in the intensity distributions of the quantum dot states, which arises from fundamental photon statistics.