No results displayed in 'Lead History' report

If a Lead History report is created, the data will not appear if 'Field Tracking' is not enabled on the object.

Enable 'Field History Tracking' on an object to populate 'Lead History' Report.

Salesforce Classic:

1. Go to Setup | Customize | Leads.
2. Choose Fields. 
3. Click Set History Tracking.
4. Tick the Enable Lead History box.
5. Select the fields that need to be exposed on the Lead History report.
6. Click the Save button.

Salesforce Lightning Experience:

1. Go to Setup.
2. Click Object Manager.
3. In the 'Quick Find' field, enter 'Lead' then click 'Lead'.
3. Select Fields and Relationships.
4. Click the Set History Tracking button.
5. Tick the Enable Lead History box.
6. Select the fields that need to be exposed on the Lead History report.
7. Click the Save button.
 

This must be done if you want to track the history on other objects as well. 

Note:

• This change will allow you to track the history going forward, but will not define past historical changes prior to being set.
• You can’t use filter logic if you are filtering by Field/Event.

For more information, check out this article: Track Field History