To take backup easily you can use Cigati Office 365 Backup Tool. This is a complete solution for Office 365 backup, use can also migrate to your new email client using with this tool. There are also some great features to know all about the software visit Cigati Official Website.
There is also some manual method available to do the same but it required some technical knowledge to do it, Follow this link to Know: https://www.cigatisolutions.com/blog/backup-emails-from-office-365/