I read your query and find that it is about backup of Your Outlook list. Yes, you can backup your Office 365 with all its file attached. But, it is difficult to backup Office 365 files manually. Hence, it is recommended to use professional software to backup Office 365 files. I recommend you to use professional tool named Office 365 Backuptool to backup your files. This professional tool can backup all your attached files without losing any vital data.