Download all messages in iCloud mail as .mbox file to archive

I would like to have a physical archive of every folder (mailbox) in my MacMail app, which is synced to iCloud. I have a MacBook Pro M3 running macOS 15.3.2 Sequoia and plenty of disk space for the messages to be stored on the laptop and subsequently transferred to an external drive.

Any suggestions on how to retrieve all the files that are stored on iCloud? I've searched for similar posts here in the community (I didn't go through all 49 pages so there may be some if the database doesn't sort by relevance).

Thanks in advance for your assistance.