It can depend on what's meant by "historical." Would a completely fictional story set in a real historical setting count? How much of it needs to be real?
My favorite made-up story about real people would have to be Impromptu, which is very loosely inspired by the lives of George Sand (played by Judy Davis), Frederik Chopin (Hugh Grant), and Franz Liszt (Julian Sands), among others (Bernadette Peters, Emma Thompson, Mandy Patankin).
Historical would mean its placement in time and depicts real world characters.
Impromptu sounds like a cool movie. I'm putting it on my list. Thanks for the tip.