How can I convert MSG files to PST format with attachments?
Use Outlook’s drag-and-drop or a reliable converter to keep attachments intact.
Quick methods
• Drag and drop MSG files into a new Outlook folder, then export that folder to a PST via File > Open & Export > Import/Export; this preserves email metadata and attachments but is slow for large sets and requires Outlook.
• For bulk jobs, use a dedicated MSG to PST converter that supports batch import, attachment retention, folder hierarchy, and preview before export; many tools work without Outlook and can create a single consolidated PST.
Tips
• Choose batch mode for hundreds of MSGs to avoid data loss and inconsistencies common in manual methods.
• Ensure the tool supports Unicode PST to bypass the old 2 GB limit and maintains To, Cc, Date, and sender fields with attachments.
more info- https://www.vsoftware.org/mac/msg-converter.html
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James Luther commented
If you use GainTools MSG to PST Converter, converting MSG files to PST format and preserving attachments is very easy. This tool is specifically designed to allow you to convert your MSG emails to PST format and all email data and attachments remain intact during the conversion. With this software you can select and convert multiple MSG files simultaneously, saving you time. The folder structure and email properties (To, Cc, Bcc, Subject, Date) are also preserved. This tool works even without Outlook installed and the resulting PST file is ready for direct import into Thunderbird or Outlook. A free trial version is available, allowing you to test the tool by converting a limited number of emails.
Read More: https://www.gaintools.com/msg/pst/