I gone through release Notes and found that Object History related list isn't supported in Lightning Experience . This is must required functionality. Please allow user's to add History related list in Lightning Experience. Related Lists
Related lists are included as Lightning components in Lightning Experience. The first eight related lists show related list buttons, the first several records from the list, and a link to open the full list of records. For any additional related lists, only the list name appears in the card. Users can still work with these related lists—simply click the related list name to access the full list. Here, users can see records in the list and use related list buttons (such as New) or row-level record actions. Not all related lists are supported in Lightning Experience. For example, the Object History related list isn’t supported.