Where is my "On My Mac" mail?

I moved 2 years' worth of mail from my inbox to a newly created Mailbox under "On My Mac". The emails moved out successfully, but the archive Mailbox I created is still empty. I know the emails are still somewhere, because when I search for specific emails using Spotlight, I find them. But where exactly are they? How do I get them to appear within the Mailbox I created in Apple Mail?