You can download a message from the Exchange Online Self-Service feature. You can download only one message at a time.
Procedure
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From the Command Center navigation pane, go to Protect > Microsoft 365.
The Microsoft 365 Overview page appears.
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On the Self-service dashboard, in the Exchange Online section, click Restore.
The message selection page appears.
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From the email list, select a message.
In the right pane, a preview of the message appears.
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Click the Action button
on the row of the message selected, and then click Download.A dialog box appears that allows you to save the message.
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Select a location and then save the message.