In myoglobin and hemoglobin, heme is covalently linked with histidine F8(eighth residue of F helix). because of covalent bond this histidine is closer to heme iron and named as proximal histidine (closer histidine), while other key histidine which responsible for stabilization of oxygen in E7 (seventh residue of E helix) is far from heme iron so named as distal.

Imagine the Fe(2+) in the plane of the protoporphyrin (prosthetic group). Above and below this plane Fe (2+) has two more sites to bind, called the fifth and sixth coordination sites. On one of these sites, the iron binds a histidine and we call that the proximal histidine, and on the other side, it will bind the incoming oxygen. Since these bonds are rather weak and you don't want a highly reactive oxygen that is coming on or off the globin, the oxygen itself is then bonded by another histidine for protection which we call the distal histidine.

So to get to your question, the first histidine that is bonded to Fe(2+) we call proximal, and the histidine that bonds last, to the oxygen, we call distal. Thus, I presume we call it distal because it binds to the oxygen, not the globin directly like the proximal histidine does.

I agree with both Amit and Anela, distal or proximal is to make reference to the Fe(2+) coordination, which is direct (proximal) or indirect (through O=O). Please be aware that the His residues are not covalently linked to heme. Bonds are "coordinate bonds" . Indeed the heme is covalently linked to the protein through its propionate and vinyl substituents, but not to the His residues. You can find nice drawings in most of biochemistry textbooks

Consensus seems to be that they refer to near and far from the heme iron, but in that case the words are misused: proximal and distal are directions, not synonyms for near and far. "The ankle is distal to the shin" implies "the shin is proximal to the ankle" (just as point A is east of point B implies point B is west of point A.) On the other hand A near B implies B near A.

Covalent probably has different meanings for a physical chemist and a cell biologist. My operational definition is if the heme stays attached to the protein on SDS gel electrophoresis, which is the case for c-type but not b-type hemes, then it is covalent. But i seem to remember these electronegative atom to metal bonds being called coordinate-covalent or something like that. Wikipedia could help here.

With respect to heme in a protein, proximal and distal seem to refer to one side or the other. of the heme plane This usage is evident if you google "heme-proximal side" or "heme-distal side", or "distal side of the heme".  The proximal histidine is thus the histidine on the proximal side, and vice-versa.  (Although it could be argued that the histidines were named first, and the sides of the heme named after them.)

This is consistent with my first explanation, that it is conventional to look at the

structure from the "proximal" side, then every thing everything closer to you than the heme is proximal (to the heme), and everything farther is distal to the heme.

-One definition: The heme's distal side, the side with an open coordination position where chemistry takes place, is . . .

(from "Molecular Water Oxidation Catalysis" By Antoni Llobet, )

-In his 1962 Nobel lecture Kendrew uses the word distal to refer to the "other" side of the heme, and mentions both histidines without labeling them proximal or distal (although it is clear that the haem-linked histidine defines the side for which the distal side is the "other" side:

"As already mentioned, the fifth co-ordination position of the iron atom is occupied by a ring nitrogen atom of a histidine residue, the so-called haem-linked histidine. On the other (distal) side of the iron atom, occupying its sixth co-ordination position, is a water molecule, as would be expected in ferrimyoglobin, the form of myoglobin used for X-ray analysis; beyond the water molecule, in a position suitable for hydrogen-bond formation, is a second histidine residue."

(http://www.nobelprize.org/nobel_prizes/chemistry/laureates/1962/kendrew-lecture.pdf)