Apple Mail backup has two good approaches depending on whether you want a restorable copy of Mail's own state or a portable archive of the messages, so both:

The portable message archive, most useful for a real backup: in Apple Mail, select the mailboxes or folders you want, then Mailbox, Export Mailbox, choosing a destination, which writes each as an mbox package containing the messages. This is the export that gives you a portable, format standard backup readable by other mail applications, ideal before an upgrade since it does not depend on Mail's internal state and can be reimported via Mailbox, Import Mailboxes if needed. Select all your local mailboxes to capture everything, and repeat or multi select as your Mail version allows.

The full Mail state, the folder copy: Apple Mail stores its data in a Mail folder in your user Library, ~/Library/Mail, and copying that entire folder while Mail is closed preserves Mail's complete state, all accounts, mailboxes and settings, restorable by putting it back. This is the belt and braces backup of Mail itself rather than just the messages, though it is version specific and less portable than the mbox export.

The account type consideration that affects what you even need: IMAP and iCloud accounts keep their mail on the server, so that mail re downloads when you add the account after an upgrade, meaning the export mainly matters for local On My Mac mailboxes and any POP account mail that lives only on the Mac. Sort your mailboxes into server backed and local first, and the backup effort concentrates on the local mail that has no server copy to restore it, the mail genuinely at risk in an upgrade.

The practical backup for an upgrade: export your On My Mac and local mailboxes to mbox for a portable safety copy, optionally copy the ~/Library/Mail folder for a full state backup, and rely on the servers to restore your IMAP and iCloud mail automatically when you re add those accounts. This covers the genuinely at risk local mail portably while not duplicating effort on server backed mail that restores itself.