First make sure there are no filters active on the mac:
Filter emails in Mail on Mac - Apple Support
After that see if you can isolate to what device is causing this to happen, or if it happens regardless of device.
You can try and deactivate the mail on one device at a time and see if the issue stops
To deactivate inbox temporarily on your mac:
Add or remove email accounts in Mail on Mac - Apple Support
Temporarily stop using an email account
- In the Mail app on your Mac, choose Mail > Accounts.
- Select the account, then deselect the Mail tickbox.
- Now the account’s messages are not shown in Mail.
To use the account again with Mail, select the Mail tickbox; the account’s messages are shown again (they don’t need to be downloaded from the server again).
Once you have deactivated it, use iCloud.com to check mail temporarily, if that "resolves" the issue, at least we have isolated it to your mac.
If it still happens, we have found that it has nothing to do with your mac.
Good luck!