It's still on the server.
Delete the mail from the server.
> Menu/ Mail/ Preferences.
> Click the Accounts tab.
> Select the mail account you wish to change the settings of.
> Click the Advanced tab.
> Select the "Remove copy from server after retrieving a message:" option and...
> Choose time desired (immediately, one day, one week, etc.) from the menu.
> Close Mail Preferences.
Check if your email provider has IMAP to use instead of POP. Then make a new account on your Mail app with the IMAP settings.
Caution: If you do't want to delete saved messages in Apple Mail, DON'T delete the POP account, just disable it.