Prova così:

SELECT `order_id`, MAX( order_history_id )
FROM `order_history`
GROUP BY `order_id`

o così:

SELECT `order_id` , `order_status_id`
FROM `order_history` A,
(SELECT MAX( order_history_id ) order_history_id
FROM `order_history`
GROUP BY `order_id`) B
WHERE A.order_history_id=B.order_history_id
WHERE A.`order_history_id`


Ciao
Mik