As such there is no direct method available to move your outlook exchange mails to Outlook 2011 for mac. But what you can do is first convert your outlook exchange mail data (stored in .ost format on your system) into .pst format, This converted pst file can be easily imported into Outlook 2011 for mac.
Another way os to directly convert your .ost files into .olm format that can be easily imported by Outlook 2011 for mac. But this will also require application use.
You can find plenty of applications for Ost to pst converters but there are very rare/none for ost to olm. try searching for them on the search engine you prefer to use.