The first-order correct-boundary Coulomb-Born distorted-wave approximation is used to study the double-electron capture by protons from the ground-state helium atoms at intermediate and high impact energies. The differential double capture cross sections are obtained as a function of the projectile scattering angle and the total cross sections as a function of the impact energy. In the considered range of impact energy, our calculation shows that although the results are not so sensitive to the static inter-electronic correlations in the initial channel, the strong final-state correlations have a large effect on the magnitudes of the double capture cross sections. The calculated differential and integral cross sections are compared with their available experimental values. The comparison shows a good agreement between the present calculations and the measurements. The comparison of the integral cross sections shows that the present approach is compatible with other theories.