I can suggest several ways to do it. The first is the most common way as it is free and you can do it anytime without downloading any additional software:
Login to your Microsoft 365 account with your administrator credentials. Then go to Admin and select Exchange. Now you should click Permissions from the left pane and go to Admin Roles > Discovery Management.
Here there is an option to click ‘+’ sign to add Roles, do it and click on ‘Mailbox Import/Export’ below roles. Now choose ‘Members’, click the ‘+’ sign again and click one time on the name of the user, after that click on “Save” and finish the necessary steps.
Now you need to go to Compliance Management, choose 'in-place eDiscovery & hold', and click on the New (+). In 'In-Place eDiscovery & Hold' dialogue box, type the name and click on the Next button.
Then, please choose the all mailboxes by clicking on 'Search all mailboxes' or the selected ones by 'Specify mailboxes to search' option and adding the ‘+’. Choose the filters and tap on the Next button.
In 'In-Place Hold Settings' you need to choose the number of days for which the items are to be kept before they are deleted. Now click on the 'Finish' and 'Close'. Finally, click on the downward arrow to export the .pst files.
Of course, this method is ok for personal use, but it is not very helpful for enterprises, as you will have to do a lot of work every day to backup everyone’s information. For enterprise clients, I recommend using solutions as
CodeTwo, Spanning, Backupify or
Nakivo, which has the most intuitive interface.