Below, you will find the steps to export a mailbox to create a backup copy:
Select one or more mailboxes, right-click, then choose Export Mailbox:
Next, choose a folder or create a new folder after which you will select Choose:
Mail exports the mailboxes as .mbox packages. If you previously exported a mailbox, Mail does not overwrite the existing .mbox file; it creates a new .mbox file, such as Mailbox 2.mbox.