I can't find this function nowhere yet reading this post from ssitter in Integrate Unifinder into Lightning as it is in Sunbird bug in Mozilla's Bugzilla it looks like it was already implemented 3 years ago.
There is no integrated search as far as I know. However, there is a rather good search function in Lightning, you can access it under the main menu > Events and Tasks > Find events.
A search bar along with a list of events will appear on top of your main calendar view. You can filter the search criteria on a time basis and expand the events information (and sort the events accordingly) by adding columns to the list as you would in the message list pane.