bash history had never seemed to work for me between tmux windows. Commands are 'trapped' in their respective window and the last one to close 'wins' and writes its history over the others. So I end-up with never-closing task-based window sessions and occasionally copy-paste commands to a safe file for future reference. I really should investigate the root cause some day...
shopt -s histappend
In your .bashrc should do. To have it write after every command take a look at http://unix.stackexchange.com/a/1292