It sucks, but when they made the processing "improvements" in FAM a couple years ago, they seem to have killed off all the places that linked JEs back to specific Assets. I think that place that shows it in Depreciation History is just some script running on demand in the background that generates the link and shows it there when you bring up the window.
Anyway, enough complaining. If you run the out of the box report (not search), Asset Monthly Depreciation Monthly report, it will show a direct link between the asset and JE. I can't remember at the moment how I got that info out of that report into some sort of usable format though. Maybe you can figure that part out. I thought it used to be available in CSV format, but it doesn't appear to be now. That's the only exportable way I was able to find where the link still exists.