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.