You can save a single email as a PDF, print it, or export it as an .eml file that other mail apps can open. All three are in the ••• menu on the message.
Steps
Desktop
Open the conversation and hover over the message you want.
Click ••• (More actions) in the message's header.
Under Save email to, choose Save as PDF, Download (.eml) or Print.
Save as PDF opens your computer's print dialog: choose to save as PDF there. To print the open conversation, you can also press ⌘P (Ctrl+P on Windows and Linux).
iPhone, iPad & Android
Open the conversation and tap the message to expand it.
Tap ••• on the message.
Choose Save as PDF, Print or Share (.eml).
Save as PDF and Share (.eml) open your phone's share options, where you can save the file or send it to another app.
Good to know
You export one message at a time. There's no way to export a whole mailbox.
Exports include the message text, sender, date and subject, but not attachments. Save attachments separately.