Hey there neillalewis,
Thanks for reaching out to the Apple Support Communities.
To get started, are you using iCloud or another third-party email provider with the Mail app on your iPhone and Mac? If using iCloud when creating a new Mailbox on your Mac did you create and save that mailbox to your iCloud account, or is the mailbox showing up under the "On My Mac" section?
If you're seeing the mailbox under "On My Mac", then you can only access emails moved to these folders from your Mac. To use the same mailboxes on both devices, you would want to create the mailbox under you account instead. Check out this link here for more details: Create or delete mailboxes in Mail on Mac - Apple Support
Create mailboxes
1. In the Mail app
on your Mac, choose Mailbox > New Mailbox.
2. Click the Location pop-up menu, then choose where to create the mailbox.
* On My Mac: Mailboxes you create in On My Mac are local, meaning you can access them only on the Mac where you created them.
* An account: Mailboxes created on your email account’s Mail server can be accessed on any computer or device where you use the account.
If you choose an existing mailbox as the location, the new mailbox is created within the existing mailbox—like a subfolder.
3. Type a name for the mailbox, then click OK.
Let us know if that's able to help.
Have a great day!