Adaptation plays a pivotal role in the evolution of natural and artificial complex systems, and in the determination of their functionality. Here, we investigate the impact of adaptive inter-layer processes on intra-layer synchronization in multiplex networks. The considered adaptation mechanism is governed by a Hebbian learning rule, i.e., the link weight between a pair of interconnected nodes is enhanced if the two nodes are in phase. Such adaptive coupling induces an irreversible first-order transition route to synchronization accompanied with a hysteresis. We provide rigorous analytic predictions of the critical coupling strengths for the onset of synchronization and de-synchronization, and verify all our theoretical predictions by means of extensive numerical simulations.