To open the MSG file you need to migrate them in EML format and then import them into any supportive email client of Mac OS then you can simply access the data. To migrate the MSG file into EML use the MSG to EML Converter for Mac OS
which is the great option to choose for the conversion of data.
Check out this site for file extensions. It list what programs can open a certain file extension and it breaks the list down by the most popular OS’s
In your case the programs for a Mac are