Download email from Mail on iCloud.com
You can download individual messages to your computer if, for example, you want to store them for future reference or access them when you’re not connected to the internet.
In Mail on iCloud.com, double-click the message you want to download to open it in a separate window.
Click the Action pop-up menu in the toolbar, then choose Download Message.
The message is downloaded as an EML file, which you can open in most email apps.