Please try it once
choose Mail > Preferences, click Accounts, then click Mailbox Behaviors.
(Mail stores messages in the mailbox so you specify for each option. )
If you select a mailbox on the mail server, the messages are available when you use your email account on another computer. Mail selects the best mailbox for your account; before choosing a different server mailbox, check with your email account provider.
If you select an On My Mac mailbox, the messages are stored on your Mac and are available only there.
I hope it will be helpful for you.