Julius Caesar and Macbeth are problematic when it comes to their classification. The First Folio of 1623 labelled them both as tragedies in its table of contents.

Modern collections of Shakespeare's plays sometimes break down the histories as follows:

• English History Plays: King John, Richard II, Henry IV Parts 1 & 2, Henry V, Henry VI Parts 1, 2, & 3, Richard III, and sometimes Edward III

• Roman History Plays: Coriolanus, Julius Caesar, Antony and Cleopatra

• "Other Histories:" Macbeth and King Lear

Shakespeare's differences from Plutarch in Julius Caesar are primarily a matter of compressing time as I discussed in a previous question. MacBeth, on the other hand, differs wildly from what is known of its historical inspiration but fits the dramatic mold of Shakespearean Tragedy beautifully. In fact, along with Hamlet, King Lear, & Othello, Macbeth is considered one of the Great Tragedies in addition to a History Play. "Tragedy" and "History" in this sense refer to style more than content.

So I guess the answer to your question is that the two plays have been grouped differently throughout the years and MacBeth has much more in common thematically with Shakespeare's Tragedy Plays than the Histories.

This question seems to be more about the perception of Shakespeare's plays than about history. You might therefore find some useful points of view about this over at /r/Shakespeare or /r/Literature.

Is there perhaps some confusion here based on plays be labeled histories and tragedies (which were literary classifications and not, to my understanding, assessments of the veracity of the history covered in the play)? Think of it this way: Saying "That play is a tragedy," isn't the same as saying "That war was a tragedy." One's a literary assessment; one's the use of the word in its generic sense. Similarly, you could say "'Richard III' is a history," and "'The Guns of August' is a history," and mean the word history in two entirely different senses.

(Chiming in from /r/shakespeare :))

I'm curious what you mean by "considered tragic" and "considered historical". Are they teaching Julius Caesar as a history play these days? Considered by whom?

The terminology is important. As already noted, there's a difference between "this play is a history" and "this play is historical." I'm with the folks that believe those terms refer to Shakespeare's intent in creating the play. Histories were provided with the intent to tell the story of what happened historically (granted, with some dramatic embellishment, but keeping it generally factual). Tragedies are character studies, intended to show how man's flaws ultimately doom him. (Ok, that's a gross overstatement, but you get the idea. The tragedies are more interested in showing the character, at the expense of historical accuracy.)

I think that the more interesting example would be Richard III. It's listed in the Folio as a history, but there's a quarto version that labels it a tragedy, and many modern editors will classify it as such. Modern interpretation suggests that Shakespeare's portrayal of Richard III was no way near accurate or fair. So I think that's your real edge case - was he writing the final chapter of his history series, or was he trying to tell the story of Richard III as a character study?