The CData connector for SharePoint allows you to pull the version history for SharePoint lists through a configurable property called “ShowVersionViews”: 

https://cdn.cdata.com/help/RSJ/ado/RSBSharePoint_p_ShowVersionViews.htm 

First, you will want to enable versioning on your SharePoint list, which is turned off by default and configurable for each separate list. Instructions for how to enable versioning are located at the link below: 
 

Enable and configure versioning for a list 
 

With versioning enabled, you can set the “ShowVersionViews” property to true within the CData connector, which will cause the connector to construct version views for each of your SharePoint lists. The name of the version view will have the following structure wListName]_Versions. For example, a list named MySPList will have a view named MySPList_Versions. 
 

Note that the CData connector will construct version views for all SharePoint lists, not just those with versioning enabled through SharePoint. For lists without versioning enabled, the driver will show the current state of the list with a version equal to 1.0.