Mail (Yosemite): View conversations

Turn conversations on or off: Choose View > Organize by Conversation. A checkmark next to the command indicates conversations are on.
Expand or collapse conversations in the message list: For one conversation, click the message count in the top message. For all conversations, choose View > Expand All Conversations or View > Collapse All Conversations.
Step through the messages in a conversation: Press Option-Up Arrow or Option-Down Arrow.
Show your original message: If a reply doesn’t show your original message, click the See More link at the bottom of the reply.
Select all messages in a conversation: Choose View > Select > All Messages in this Conversation.
Hide related messages located in other mailboxes: Choose Mail > Preferences, click Viewing, then deselect “Include related messages.” To hide them only until you quit Mail, choose View > Hide Related Messages.
Move messages in a conversation: When you move a message to another mailbox, it becomes a related message. If related messages are hidden, the message doesn’t appear in the conversation.
Highlight messages in a conversation: Choose Mail > Preferences, click Viewing, then select “Highlight messages with color when not grouped.” To change the highlight color, click the color box.
Delete a conversation: Select a conversation in the messages list, then press Delete. All of the messages in the conversation are deleted, except for related messages located in other mailboxes.
You can see some of your mailboxes in the Favorites bar; all of your mailboxes are shown in the Mail sidebar.