Se você estiver usando zsh, anexe essas duas linhas a .zshrc
unsetopt inc_append_history
unsetopt share_history
De zshoptions (1) - Página man do Linux :
INC_APPEND_HISTORY
This options works like APPEND_HISTORY except that new history lines are added to the $HISTFILE incrementally (as soon as they are entered), rather than waiting until the shell exits.
SHARE_HISTORY
This option both imports new commands from the history file, and also causes your typed commands to be appended to the history file (the latter is like specifying INC_APPEND_HISTORY).
O pôster indicou que essa era a opção que ele procurava:
APPEND_HISTORY
If this is set, zsh sessions will append their history list to the history file, rather than replace it. Thus, multiple parallel zsh sessions will all have the new entries from their history lists added to the history file, in the order that they exit.