I used below procedure to export emails from Office 365 Exchange Online Archive and import them into Mac OS X Apple Mail while doing PST to MBOX format conversion.

• Connect user account to Windows version of MS Outlook 2016 and export online archive to .PST format.
• Move .PST file to a Mac OS X machine and import to Mac version of MS Outlook 2016.
• Drag each folder out of Mac Outlook into a Finder folder which will export them into MBOX format.
• Move MBOX files to the final destination iMac and import them to Apple Mail (File > Import Mailboxes).

If anyone know an easier way to do this, let me know!

May 2018
MS Outlook 2016
Mac OS High Sierra