EDIT: I think I found what you are looking for here: https://en.bitcoin.it/wiki/MtGox/API/HTTP/v1#Multi_currency_trades
Also you can consider following the Streaming API which lets you stream all activity in real time: https://en.bitcoin.it/wiki/MtGox/API/Streaming
If the API does not offer this option, I don't think they offer it in an other format.
Although, look at f.e. this page of BitcoinCharts.com: http://bitcoincharts.com/markets/mtgoxEUR_trades.html
They seem to have access to this data somehow. I see that MtGox publishes its full depth. Maybe BitcoinCharts just checks the depth at regular points of time and calculates the trade history from the difference.
You could consider doing the same for your purpose.