You can restore the entire Exchange Online mailbox to a PST file.
From the navigation pane, go to Protect > Office 365.
The Office 365 apps page appears.
In the App name column, click the app that contains the mailbox that you want to restore.
The app page appears.
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.
From the Restore to list, select PST file.
From the Destination host list, select the Exchange server to restore the item to.
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.
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.
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.
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.