How to Merge Exchange Online mailbox

Using mailbox search can help, however all the copied items will be placed in a parent folder and you will loose the folder structure. EWS is the best option here, for example this script: https://code.msdn.microsoft.com/office/PowerShell-Merge-mailbox-e769c529

That's assuming you want to use an "admin" solution, otherwise simply do the "merge" by copying the items in Outlook.