The New Outlook app (2023 and newer) does not currently support exporting to PST files or local backups directly. Microsoft is pushing a more cloud-first model, relying on Exchange Online retention and archiving.

However, here are your options:

Option 1: Use the Classic Outlook (recommended for backup/export)

You can switch back to classic Outlook temporarily to perform backups.

Steps:

1. In the New Outlook, toggle off "New Outlook" at the top right corner.
2. This will restart the app in Classic Outlook mode.
3. Once in Classic Outlook:
• Go to File > Open & Export > Import/Export
• Choose Export to a file > Outlook Data File (.pst)
• Select the mail folder(s) to back up.
• Choose the location and save.

✅ Option 2: Use the Classic Outlook (recommended for backup/export)

Follow the instructions in the following link:  Archive for Office 365