There is no direct way to import Outlook Express DBX files into Mac Mail, some form of conversion process is required. Outlook Express files could not even be directly read by Outlook, they needed to be imported first.
I did a search on the web and found a few different options, but it seem’s in all cases you are going to need access to a Windows system to complete this.
Qualifier: There is one way to convert directly, but, it is going to cost you. Please see here:
http://weirdkid.com/emailchemy/
I have no experience with this software, so I cannot comment on it’s efficacy.
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A totally FREE option, here: (this seem’s very straightforward without the need for any other intermediary software - I would try this first)
https://www.greennet.org.uk/support/moving-emails-outlook-express-mac-os-x
Download DbxConv, here: (do not use the link in the article [above] it re-directs you)
http://www.ukrebs-software.de/english/dbxconv/dbxconv.html
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Another FREE option, but requires several steps to complete.
Outlook Express DBX files can be imported into Windows Live Mail, but you then need to import the Windows Live Mail EML files into a third party mail client (Thunderbird) before exporting from Thunderbird into standard MBOX format, procedure here:
https://tinyapps.org/blog/windows/201508120700_wlm_to_apple_mail.html
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Some information regarding the DBX file:
https://fileinfo.com/extension/dbx
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One more option (there are likely more……..) convert your DBX files to PST, please see here:
http://recoveryandmanagement.com/2014/08/06/how-to-convert-dbx-to-ms-outlook-manually-dbx-to-pst/
Once your files are converted into PST format they can be read by MS-Outlook directly. You then need to convert them from PST to MBOX, you can do that using this:
https://www.littlemachines.com
When I switched from PC to Mac, I was using MS-Outlook in Windows and therefore my conversion was from Outlook to MBOX and then import into Mac Mail, this software worked very well for that and it was quite intuitive.
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Hopefully you will find one of the above suggestions useful.