Hello Andrewt11,
Thank you for reaching out to Apple Support Communities.
Are you able to move the files into a single folder using the sidebar We were able to find these steps:
"Import mailboxes
- In the Mail app
on your Mac, choose File > Import Mailboxes. - Select a source in the list, read the information that appears below the list, then click Continue.
- If you’re importing a mailbox exported from Mail or a folder in the ~/Library/Mail/ folder on another Mac, select Apple Mail. To get to the Mail folder on a Mac, click the desktop to make sure you’re in the Finder, press and hold the Option key, choose Go > Library, then select the Mail folder.
- If you’re importing messages from a Windows or UNIX computer, select “Files in mbox format,” then locate the folder containing the files.
3.Reorganize the imported messages, if you like.
The messages are in a new mailbox called Import in the Mail sidebar. You can drag folders and messages from the Import mailbox to new or existing mailboxes, then delete the Import mailbox."
More details can be found here: Import or export mailboxes in Mail on Mac
If the issue persists, can you provide a few more details? Where are the files originally from? Also, what is your exact macOS version?
Cheers!