You can restore the entire Exchange Online mailbox to a disk.
Procedure
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From the navigation pane, go to Protect > Office 365.
The Office 365 apps page appears.
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On the Apps tab, click the app.
The Overview tab appears.
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On the Mailboxes tab, on the upper-right area of the page, click Restore.
The available Restore options tool appears.
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To restore individual messages, select Restore mailboxes, and then click Next.
Backup content appears in a list format for the mailbox or all public folders.
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From the list, expand the folders to locate the items you want to restore, and then select the items.
You can use the Search bar to filter mailbox contents and find the items you want to restore.
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At the top area of the page, click Restore.
The Restore options tool appears.
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On the Destination tab, select File Location, configure the restore destination, and then click Next.
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From the Server list, select the server where the data will be restored.
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From the File type list, select MSG.
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Beside the Path list, click Browse, select a folder from the list, and then click Save.
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Click Save.
The Options tab appears.
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To include deleted items in the restore, select Include deleted items, and then click Next.
The Review tab appears.
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Review the items you selected for restore, and then click Submit to start the restore operation.
The Summary tab appears.
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Click Close.