I checked an entity in the CRM SQL database but there wasn't a column specifying about audit history. I know there is a way to enable / disable it through CRM's online portal but that would take a pretty long time to see which entities have it enabled and which have it disabled.
I've tried poking around but couldn't find much on the topic so I figured I'd see if anyone here knew anything about it or had any experience with it.
Here is a quote from Microsoft's page on accessing it through the online portal:
Click the entity for which you want to start or stop auditing. To start auditing, on the General tab, in the Data Services section, select the Auditing check box. To stop auditing, clear the check box.
Download xrmtoolbox & enable/disable audit in single stretch.
Audit center plugin will help you to complete the magic.
Update: After you install the xrmtoolbox, Connect to Org, Click 'Audit center', Click 'Load data' - Audited entities & attributes will be listed: