The response of microbes to external signals is mediated by biochemical networks with intrinsic time scales. These time scales give rise to a memory that impacts cellular behaviour. Here we study theoretically the role of cellular memory in Escherichia coli chemotaxis. Using an agent-based model, we show that cells with memory navigating rugged chemoattractant landscapes can enhance their drift speed by extracting information from environmental correlations. Maximal advantage is achieved when the memory is comparable to the time scale of fluctuations as perceived during swimming. We derive an analytical approximation for the drift velocity in rugged landscapes that explains the enhanced velocity, and recovers standard Keller–Segel gradient-sensing results in the limits when memory and fluctuation time scales are well separated. Our numerics also show that cellular memory can induce bet-hedging at the population level resulting in long-lived, multi-modal distributions in heterogeneous landscapes.