Is there any way to find their GOG version history and changelogs? Or I should compare their GOG version with Steam version to find changelog of their current version on GOG?

Your best bet would be to look in the specific game's subforum, but this would only be useful about new games. For old ones, you might or might not find such info there.

You probably also wouldn't be able to compare the GOG version to the.. anywhere else version.
Don't they usually just make up their own version numbers?

To add to what Grargar said,

Not really. If the game doesn't have a changelog then that means it has not been updated in a long time. It might not even have any more patches. Any game that has been updated since the changelogs were added should have a changelog though.

That means that those games never have been updated since the Changelog feature was introduced. Damn ninjas :P

They have two version numbers; one for the installer and one for the patch.

Games that haven't been updated after the introduction of the changelog feature will not have one. I guess the only way to find out is to check the game's version by installing it and comparing it on other sites/Steam.

Most games are already on their latest version, well, most except Omerta: City of Gangsters :-) that game has been forgotten by the Don.

Consider this example:
4A Games/Deep Silver updated Steam version of Metro Redux on 17 Dec 2015. They announced it on both 2033 and Last Light pages on Steam. But GOG version lacks changelog and there is nothing in Metro series sub-forum too. So how can I check GOG version is as updated as Steam version?

If nobody else does I try to remember to check this when I get on my main PC... it could be the updates that came to Steam were specific to the Steam build.

This is Steam version update (link):
[i]Change log
- Improved stability on NVidia GeForce GTX Titan X video cards.[/i]

Based on MaGog search results, GOG version is 22 Jul 2015. Maybe GOG version does not need that stability update and works well on Titan X graphics card. Or as you said, it's a Steam-specific update because Steam version needed such update. There is no need to re-download it. That Steam update made me curious. Because I thought I missed GOG update notification.

Just to update, there are zero change logs for both Metro titles on GOG.

Thanks mates. Useful posts. +1