You can use the SELECT INTO statement to export formatted data to a file.

Data Export with an SQL Query

The following query exports data into a file formatted in comma-separated values (CSV):

SELECT LastModifiedByName, GivenName INTO [csv://Contacts.txt] FROM [Contacts] WHERE BusinessAddress_City = 'Raleigh'

You can specify other formats in the file URI. The possible delimiters are tab, semicolon, and comma with the default being a comma. The following example exports tab-separated values:

SELECT LastModifiedByName, GivenName INTO [csv://Contacts.txt;delimiter=tab] FROM [Contacts] WHERE BusinessAddress_City = 'Raleigh'

C#

String connectionString = "User='myUser@mydomain.onmicrosoft.com';Password='myPassword';Server='https://outlook.office365.com/EWS/Exchange.asmx';Platform='Exchange_Online';Schema='EWS';";

using (ExchangeConnection connection = new ExchangeConnection(connectionString)) {
  ExchangeCommand cmd = new ExchangeCommand("SELECT LastModifiedByName, GivenName INTO [csv://Contacts.txt] FROM [Contacts] WHERE BusinessAddress_City = 'Raleigh' ", connection);
  int rowsAffected = cmd.ExecuteNonQuery();
} 

VB.NET

Dim connectionString As [String] = "User='myUser@mydomain.onmicrosoft.com';Password='myPassword';Server='https://outlook.office365.com/EWS/Exchange.asmx';Platform='Exchange_Online';Schema='EWS';" 

Using connection As New ExchangeConnection(connectionString)
  Dim cmd As New ExchangeCommand("SELECT LastModifiedByName, GivenName INTO [csv://Contacts.txt] FROM [Contacts] WHERE BusinessAddress_City = 'Raleigh'", connection)
  Dim rowsAffected As Integer = cmd.ExecuteNonQuery()
End Using

You can specify other file formats in the URI. The following example exports tab-separated values:

C#

String connectionString = "User='myUser@mydomain.onmicrosoft.com';Password='myPassword';Server='https://outlook.office365.com/EWS/Exchange.asmx';Platform='Exchange_Online';Schema='EWS';";

using (ExchangeConnection connection = new ExchangeConnection(connectionString)) {
  ExchangeCommand cmd = new ExchangeCommand("SELECT * INTO [Contacts] IN [csv://filename=c:/Contacts.csv;delimiter=tab] FROM [Contacts] WHERE BusinessAddress_City = 'Raleigh'", connection);
  int rowsAffected = cmd.ExecuteNonQuery();
} 

VB.NET

Dim connectionString As [String] = "User='myUser@mydomain.onmicrosoft.com';Password='myPassword';Server='https://outlook.office365.com/EWS/Exchange.asmx';Platform='Exchange_Online';Schema='EWS';" 

Using connection As New ExchangeConnection(connectionString)
  Dim cmd As New ExchangeCommand("SELECT * INTO [Contacts] IN [csv://filename=c:/Contacts.csv;delimiter=tab] FROM [Contacts] WHERE BusinessAddress_City = 'Raleigh'", connection)
  Dim rowsAffected As Integer = cmd.ExecuteNonQuery()
End Using