Hi there, here's an extract from another post I made last week. Someone had the same question.
If you only use webmail and have a folder structure built in that then it is still possible to download the structure but it's a manual process and extremely wrist intensive.
You will need Outlook.
We'll call Outlook on the computer the Outlook app and Outlook on the web we'll call Outlook Webmail.
Setup the account How to set up Office 365 email | BT Business in the Outlook App
Wait until the inbox has downloaded. Create a folder in outlook, call it inbox backup and drag the contents of the inbox to it, inbox in the Outlook App should now be empty.
Now log into Outlook webmail https://portal.office.com/
Delete the contents of your inbox by right-clicking the inbox folder and emptying it, you have it all in the Outlook App now anyway.
Now you can move onto downloading Outlook webmail folders. Go into your first webmail folder and drag all of the emails into the webmail inbox. You may need to drag it in portions
Once it is all in the webmail Inbox you can go back to the outlook App and send/receive again. This will download all the email from the folder you just moved to the Outlook App inbox.
Wait until it is finished and create a folder in the Outlook App to whatever it was called on the webmail and drag it from the inbox to that folder.
Now go back to the webmail and empty the inbox again.
Do this for all your folders. Downloading through the inbox and rebuilding the folder structure in outlook.
Once you have all you need you can do what you want with the Outlook App PST, import to an exchange if you want.
