To Do this, users must have at least an E2 license!

  1. Log into your O365 as Admin using Internet Explorer (Chrome has issues with this)
  2. Click on "Exchange", then "Compliance Management"
  3. Click on "in-place eDiscovery & hold"
  4. Click the + sign for a new search
  5. Type a unique name for the search (and description if you'd like)
  6. Select "Specify mailboxes to search" and click the + sign
  7. Add whichever mailbox you wish to export
  8. Please note the following: In-Place Hold is a premium feature that requires an Exchange Online Plan 2 or Exchange Online Archiving license to enable it for each user mailbox.
  9. Click "Next"
  10. Determine your filters (if any) and click "Next"
  11. Determine your in-place hold settings (if any) and click "Finish"
  12. Once it has completed, click "Close"
  13. Click on the "Export to a PST file" icon (arrow pointing downward with a line below it)
  14. This will download the eDiscovery PST Export Tool and offer to select a location to download the PST to (much in the same way ExMerge used to work)

Have fun.

(if the above Export tools did not show up, check: