My son and I did Susan Wise Bauer's Story of the World starting at age 4 and we were chugging along and enjoying it so much that I ordered the whole series - until, at age 5, child started having nightmares, started yelling about "an eye for an eye" and about "bloodshed" etc in his sleep. I actually sat next to his bed and recorded his words and then correlated them to the exact same words in SOTW.
Same thing happened after we read the biography of Abraham Lincoln - DS is a huge fan of that president - but did not realize that the moms of little boys can die suddenly until he read that Lincoln's mother died when he was around age 7. That caused days of anxiety at our house.
I have encouraged my son to read science non-fiction for the past 2 years instead.
My child is very emotional, sensitive and empathetic and prone to anxiety when topics of murder, death, war, poverty etc are discussed in detail. My point being that if your child is not ready for emotionally intense material, there is no need to encourage them to read history books that might trigger feelings of fear, worry etc. Wait until they are ready for "ugly historical events" and then let them process the information.
I may pick up read alouds of Story of The World again when my DS turns 7 this year as I think that he is able to handle more emotinally intense material now.