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In classic Outlook, select File > Open & Export and choose Import/Export.
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In the wizard, select Export to a file > Next.
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Choose Outlook Data File (.pst) and select Next.
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Select a folder to export from and select Next again.
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Specify a location, and then select Finish.
Currently, new Outlook doesn't support exporting data to a .pst file. This feature is coming soon. In the meantime, you can switch to classic Outlook to export your data to a .pst file.Â
For information on switching to classic Outlook, see Revert to legacy Outlook.