You can restore the entire Exchange Online mailbox to a PST file.
Procedure
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From the navigation pane, go to Protect > Office 365.
The Office 365 apps page appears.
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In the App name column, click the app that contains the mailbox that you want to restore.
The app page appears.
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On the Mailboxes tab, select the mailbox that you want to restore, click Restore, and then click Restore mailbox.
The Restore options dialog box appears.
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From the Restore to list, select PST file.
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From the Destination host list, select the Exchange server to restore the item to.
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To specify the location to restore the PST file, in the Destination path box, click Browse, and then enter a file name that includes the .pst extension.
If you want to restore the PST file to a network location, enter a UNC path, with a file name that includes the .pst extension.
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To restore a large data set to multiple PST files, select the Limit PST size to check box, the maximum size for the PST files.
You cannot enter a value that is greater than 45 GB.
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To create a single PST file that is common to all users, select Create common PST for all users.
You can then select either a merged folder hierarchy for all users or a preserved folder hierarchy for each user.
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To create a separate PST file for each individual user, select Create a folder per user using.
You can then select the appropriate folder naming convention from the corresponding list.
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Click Submit.