Você pode fazer isso com um addon.
Fonte Existe um histórico global e persistente de CMD? resposta de Robert Bak:
Not natively but check out: http://mridgers.github.io/clink/ , makes cmd.exe much more productive. Quoting features from the project page:
Powerful Bash-like line editing from GNU's Readline library. Superior path completion (TAB). Paste from clipboard (Ctrl-V). Support for the completion of executables/commands, and environment variables. Undo/Redo (Ctrl-_ or Ctrl-X, Ctrl-U) Improved command line history. Persists across sessions. Searchable (Ctrl-R and Ctrl-S). History expansion (e.g. !!, !<string>, and !$). Scriptable completion using Lua.