You can export a mailbox to create a backup copy of it, so that later you can retrieve messages from the mailbox if you need to.
1. In the left part of Mail's window, choose a one or more folders which you want export. Then in the top command panel choose Mailbox > Export Mailbox. Choose a folder or create a new folder where you want to store the exported mailbox, and then click Choose. Mail exports the mailboxes as .mbox packages.
2. If you would need to recover messages in future, you can import an exported .mbox file as Apple Mail.