In addition to the usual superconducting current, Josephson junctions (JJs) support a phase-dependent conductance related to the retardation effect of tunneling quasi-particles. This introduces a dissipative current with a memory-resistive (memristive) character and thus should also affect the current noise. By means of the microscopic theory of tunnel junctions we compute the complete current autocorrelation function of a Josephson tunnel junction and show that this memristive component gives rise to a non-stationary, phase-dependent noise. As a consequence, dynamic and thermal noise necessarily show a phase dependence otherwise absent in nondissipative JJ models. This phase dependence may be realized experimentally as a hysteresis effect if the unavoidable time averaging of the experimental probe is shorter than the period of the Josephson phase.