Mail and the concept of Folders?

Im using Mail (Version 11.5 (3445.9.7) on an iMac running High Sierra (10.13.6)

I am asking about Mail Folders, in the sense that a Microsoft Outlook user would know them. I am in the process of moving mail functionality (generally) off of Windows and on to my iMac. I successfully set up a mailbox that works great. Now, the question becomes, what to do about the mail folders still left on the Windows machine.

Using the Mail program on my iMac, I explored the Smart Mailboxes. These are nice, and provide a useful view of what is in the inbox. However, the mail is still in the inbox. So in a sense, a Smart Mailbox is a rules based query result, not a place to store messages. Does the Apple ecosystem have anything comparable to an email folder?

Anticipating the suggestion of running Outlook on my iMac, let me get that off the table right now. Won't happen.

Is there something I could read? I was not exhaustive in my search, but mildly diligent. I found hundreds of "Mail won't start, Mail does this,Mail does that, etc" but I'm not having trouble. I'm just asking does Apple know about folders? If the Answer is "we don't do folders" that is fine. Can Mail open a Microsoft mail file? they are .pst files. Sometimes .ost files. If not, I will figure something out.

Don't you love newbie questions?!? Thanks in advance to any electing to comment.