Facebook enables all users to download copies of their personal information and data. The download includes messages, along with profile information, photos and activity. The site offers no method to download only your message history. While initiating the process is straightforward, there's an undisclosed wait time that means you won't get the information right away.
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Download Facebook Data
Visit your Facebook settings and click the "Download a Copy of Your Facebook Data" link. Click the "Start My Archive" button and enter your password in the pop-up window before selecting "Submit." Click "Start My Archive" in the Request My Download pop-up and click "Okay."
After you request your data, Facebook requires an undisclosed amount of time to prepare the information. The site emails you when your data is ready. The email contains a download link to the data.