Is the histogram shown on the DSLR different than histogram of the same image in Lightroom?

Is this normal?

Yes, this is to be expected.

Why does it happen?

The JPEG preview image produced by the camera (when saving raw data) is one among a near countless possible interpretations of the raw data. The in-camera histogram is based upon the JPEG preview.

The image displayed on your screen when LR opens a raw file is one among a near countless possible interpretations of the raw data. The histogram displayed by LR is based on the current processed interpretation of the raw data that is displayed on your monitor.

They’re not the same interpretation, therefore they won’t have the same histogram.

Which one is more accurate?

Neither is necessarily more or less accurate than the other. They just reflect the results of two different interpretations of the same raw data. Neither is a representation of the linear, unprocessed values in the raw file. Both are representations of two different interpretations among a near countless number of possible interpretations of the raw data.