You can convert MSG to PDF easily by applying the below methods:
By using the print option
You can highlight the emails you want to convert and press Ctrl+P to bring up the print dialog box. Select Adobe PDF as the printer and hit the Print button to start the converting process.
If the attachments are required, go to Print Options and check the option “Print attached files” before hitting the Print button. The attachments will be saved as separate PDF files.
