Here are the steps to backup multiple Mac Mailboxes at one time.
Step 1 – Hold down Command and click on each of the mailboxes which you wish to export on the sidebar until they are highlighted
Step 2 – Release Command and right click on one of the highlighted mailboxes. Click on Export Mailbox
Step 3 – Choose the folder where you would like to store the backups and click on Choose
Wait a few minutes and then check the folder and you should see your mailbox backup.