We use observations from the MErcury Surface, Space ENvironment, GEochemistry, and Ranging (MESSENGER) spacecraft, in orbit around Mercury, to investigate interplanetary coronal mass ejections (ICMEs) near 0.3 AU. MESSENGER is the first spacecraft since Helios 1 and 2 in the 1980s to make in situ measurements of the interplanetary medium at heliocentric distances < 0.5 AU. As such, it presents a unique opportunity for observing the innermost heliosphere. It also allows for observations of ICMEs well within 1 AU to study their evolution as they expand and propagate outward, interacting with the solar wind. We catalog ICME events observed by the MESSENGER Magnetometer between 2011 and 2014 and present statistical analyses of ICME properties at Mercury. In addition, using existing data sets of ICMEs at 1 AU, we investigate key ICME property changes from Mercury to 1 AU. We find good agreement with previous studies for the magnetic field strength dependence on distance, and we also find evidence that ICME deceleration continues past the orbit of Mercury. This paper describes the database of ICMEs from MESSENGER orbital observations around Mercury, which is publicly available through the supporting information (Table S1) associated with this manuscript and the Virtual Energetic Particle Observatory. Our ICME database will prove particularly useful for multipoint spacecraft studies of recent ICMEs, as well as for model validation of ICME properties.