@Ankush_Sharma I prefer to use eDiscovery.
In Security & Compliance center, under permissions you can check the compliance administrator and assign it to yourself. Then assign your account the eDiscovery administrator role under eDiscovery.
Under search, click content search. Perform a new search and run against the entire mailbox (or use keywords for specific searches).
Once the search is done, click on the export tab and you will need to use the Export key to download the searched mailbox.
After that, you'll download the file with that export key. You will need to do this in Internet Explorer for now (far as I know).
