B737 CAPT FOUND NO RECORD OF FIRST FLT OF DAY ACFT SECURITY INSPECTION; BUT WAS ADVISED BY AGENT THAT IT HAD BEEN ACCOMPLISHED AT ORIGINATION ARPT AND THAT HIS FLT WAS A TURN AROUND. UPON RETURN TO ORIGINATION ARPT; FOUND THAT IT INADVERTENTLY HAD NOT BEEN ACCOMPLISHED.

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I WAS REVIEWING THE LOG BOOK PRIOR TO DEP AND DID NOT SEE A FIRST FLT OF THE DAY SECURITY CHK AND REQUESTED ONE TO BE DONE. THE AGENT THAT WAS CLOSING OUT THE FLT SAID HE WOULD CALL A LEAD AGENT. THIS IS APPROX 16 MINS PRIOR TO DEP. THE AGENT CAME DOWN AND I TOLD HIM I NEEDED A SECURITY CHK FOR THE FIRST FLT OF THE DAY. HE TOLD ME THAT THIS FLT JUST CAME IN FROM LAX AND IT WAS A TURN AND DIDN'T NEED A SECURITY CHK IN YYZ THAT THE CHK DIDN'T NEED TO BE DONE. I TOLD HIM I THOUGHT IT NEEDED TO BE; BUT IF THAT WAS THE CASE-OK. I TOLD THE FO AS WE APCHED THE 30 MIN POINT PRIOR TO LNDG TO CALL OPS AND REQUEST FIRST FLT OF THE DAY SECURITY CHK ALONG WITH OTHER ISSUES -- APU NOT WORKING; WE NEED AIR AND ELECTRIC. THE WINDSHIELD NEEDED CLEANING AND FIRST FLT OF THE DAY SECURITY INSPECTION NEEDED TO BE COMPLETED PRIOR TO DEP. IT WAS THEN AN ISSUE AS TO WHY THE INSPECTION HADN'T BEEN DONE AND THIS WAS AFTER BEING TOLD IT HAD BEEN DONE AND THE PAPERWORK HAD BEEN PUT UNDER THE DOOR. WE SEARCHED THE FLOOR; THE TRASH; THE LOG BOOK AND UNDER THE SEATS AND NO RPT FOUND. THEN WE WERE TOLD; SORRY; WRONG FLT; NO RPT WAS DONE. MY POINT WAS; OK; SO THIS WHOLE ISSUE IS NOW A MESS; BUT WE STILL NEED A FIRST FLT OF THE DAY INSPECTION. I LEFT A NOTE IN THE LOG BOOK; I WATCHED THE WINDOWS BEING CLEANED AND SECURED THE COCKPIT AND LEFT THE GATE. I FELT UNEASY ABOUT THE ISSUE BEING A SECURITY ISSUE.