Please follow below steps to save all emails in a conversation as a single PDF file in Outlook.

1. Open the mail folder containing the conversation, and check the Show as Conversations option on the View tab. See screenshot:

2. In the popping out Microsoft Outlook dialog box, please click All mailboxes or This Folder button as you need.

3. Now all emails are grouped by conversation. Please click the arrow  before the specified conversation to expand it, and then select all emails in the conversation.

4. Click File > Print.

5. Go ahead to (1) select Microsoft Print to PDF from the Printer drop down list, (2) click to select Memo Style in the Settings section, and (3) click the Print button. See screenshot:

6. In the Save Print Output As dialog, please open the destination folder you will save the PDF file into, name the PDF in the File name box, and click the Save button. See screenshot:

Note: This method works well in Outlook 2016.

Now all emails in the specified conversation is saved as a PDF file.

If you have Kutools for Outlook installed, you can apply its Bulk Save feature to save each email in a conversation to an individual PDF file in Outlook.

1. Please follow Step 1-3 introduced in above method to select all emails in the specified conversation.

2. Click Kutools > Bulk Save.

3. In the Save messages as other files dialog, please click  (the Browse button) to specify the destination folder you will save the PDF files into, check the PDF format option, and click the Ok button. See screenshot:

Now you will see each email in the specified conversation are saved as an individual PDF file. See screenshot:

How to export an Outlook email to PDF file?