Where are Email Messages Stored?
The Mail.app stores all Messages in your User Directory:

~/Library/Mail/


Depending on your OS Version there is a Subfolder, f.e. "V3" for 10.11 and "V2" for 10.10., containing Subfolders for each Mailbox. 

The Library Folder is usually hidden, but you can access it in the Finder from the Menu "Go to" > "Go to Folder" (or CMD+SHIFT+G) and typing in the Path listed above.