This is a common problem and there are many solutions present for it.
First:
Follow the steps and you will be able to import your mails easily
1.open outlook 2011
2. create a local folder
3. drag all your local emails to the folder we have created
4. then drag the local folder we have created to the lion's desktop (once it will finish, we'll have a .mbox file)
5. open mail
6. In Mail, choose File > Import Mailboxes -> choose .mbox file
Second:
You can use Exchange or IMAP accounts to have all the files on the
server, and then in Mail, but you would need significant storage space
there if you have a lot of e-mails.
Third:
You can use software approach to solve your problem.There are various softwares available online for this problem. One I know is Olm converter pro.
You can find it here:
Convert mails (olm files) to Apple Mail
Thank you