To migrate the data from Yahoo Mail to Office 365 you need to save your yahoo mailbox data into PST format which can be easily imported into Office 365 account. For the THIS user there is an option from which they can download the data from Yahoo Mailbox to local drive in PST format.
Try third party utility that can convert and export all mailboxes items from yahoo to local hard drive. I advise you this
Gaintools Cloud Backup Software, this software will help you to take all emails backup from Yahoo to multiple file extensions like PST, EML, EMLX, MSG, and MBOX.