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I believe that the mysql client uses the same readline function as the bash shell, but uses a .myql_history file instead of .bash_history. It is the client rather than the server that would be the reason for your lack of command history.
First question is do you use the bash shell. Does CTRL_R in the console work?
Are you using the --quick or --batch options? If you do, mysql doesn't use the ~/.mysql_history file.
Run `echo MYSQL_HISTORY'. Does it equal /dev/null?
Run `ls -l ~/.mysql_history'. Is it linked to /dev/null?
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