This article applies to: Outlook 2016 for Mac
The following link will take you to a Microsoft help page:
But before you go, here's some additional information you may find helpful.
You can move a folder by dragging & dropping. When you drop a folder, it becomes a "child" of the folder on which you drop it.
You'll find that Outlook automatically alphabetizes your folders.
You can move messages to folders manually, or use Rules to have them placed automatically as they arrive.