setDisplayHomeAsUpEnabled() not working in PreferenceActivity

You can do it like this

@Override
    public boolean onSupportNavigateUp() {
        onBackPressed();
        return true;
    }

You need to call your private method setSupportActionBar() inside onCreate().

Also, you might want to implement onOptionsItemSelected:

@Override
public boolean onOptionsItemSelected(MenuItem item) {
    switch (item.getItemId()) {
    case android.R.id.home:
        onBackPressed();
        return true;
    }
    return super.onOptionsItemSelected(item);
}

You forgot to call this method in your onCreate()

getSupportActionBar().setDisplayHomeAsUpEnabled(true);

I have made some assumptions on what you might be trying to achieve. This should work if you want to use a custom toolbar with PreferenceActivity. The following code goes inside onPostCreateView()

LinearLayout root = (LinearLayout)findViewById(android.R.id.list).getParent().getParent().getParent();
mToolBar = (Toolbar) LayoutInflater.from(this).inflate(R.layout.toolbar, root,false);
mToolBar.setTitle(R.string.title);
// insert at top
root.addView(mToolBar, 0);

setSupportActionBar(mToolBar);
getSupportActionBar().setDisplayHomeAsUpEnabled(true);
getSupportActionBar().setDisplayShowHomeEnabled(true);