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Before exporting your email data to a .pst file, ensure that your gmail account is configured in outlook. At the top of the Outlook ribbon open the File menu, and click Add account. Follow the Gmail - Configure Outlook for Windows tutorial for configuration assistance.
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Before importing the .pst file, configure your exchange account. As you did in Step 1, open the File menu and click Add account. Follow the Microsoft 365 - Outlook for Windows Exchange Configuration tutorial for detailed configuration instructions.
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Please note that only mail is moved. Moving calendar items and contacts from one service to the other manually is not supported.