You can restore the entire Exchange Online mailbox to a disk.
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 Disk.
From the Destination host list, select the Exchange server to restore the item to.
To choose a folder on the physical disk that is attached to the destination host that you selected, in the Destination path box, click Browse.