First, connect to Exchange Online PowerShell

$UserCredential = Get-Credential
$Session = New-PSSession -ConfigurationName Microsoft.Exchange -ConnectionUri https://outlook.office365.com/powershell-liveid/ -Credential $UserCredential -Authentication Basic -AllowRedirection
Import-PSSession $Session

Then, use the Search-Mailbox cmdlet

Search-Mailbox -Identity "MAILBOX1" -TargetMailbox "MAILBOX2" -TargetFolder "Moved From Old Mailbox" -LogLevel Full

Sources:

• https://technet.microsoft.com/en-us/library/jj984289(v=exchg.160).aspx
• https://community.spiceworks.com/topic/1208819-merging-2-mailboxes-to-single-user-in-office-365