A mailbox is like a folder, used to store and organize email messages. Each email account you use in Mail has a set of standard mailboxes—for example, Inbox, Sent, Drafts, and Trash. The Mail sidebar shows the mailboxes for each account, as well as mailboxes you create. To show the sidebar, choose View > Show Mailbox List, or press Shift-Command-M.
Mailboxes on your Mac are local, meaning you can access them only on your Mac; they’re shown in the On My Mac section of the Mail sidebar. Mailboxes on an account’s mail server can be accessed on any computer where you use the account; they’re shown in the account section of the sidebar.