Recently it was reported that the critical current densities measured by four probe method in multi-filamentary Nb-Ti and Nb3Sn wires depended on the history of increasing and decreasing external magnetic field. In this report, dc magnetization and four probe resistive measurements were carried out for Nb-Ti multifilamentary wires, and critical current densities in the filament and matrix were separated. The Campbell method was also used for measuring the history effect of critical current density in the matrix. The history dependence was found only for the current density induced in matrix due to the proximity effect. This close correlation between the proximity effect and history effect shows a similarity to the phenomenon in high-T, superconductors. The possible reason for the history effect in critical current density is discussed.