Outlook for Mac doesn't use PST files, it uses *.olm files. In order for you to migrate them over, you have a couple of ways to do it.

1) Purchase software to convert pst files to olm (cost involved)
2) Transfer your *.pst files to Office 365 online and then on your Mac, setup Outlook to connect to your online account

I used option 2 as I had a 2TB Office 365 storage capability so I could just transfer all files from PST to online. Then connect Mac online and download the files through.

Cool, in the past my firm paid for the application to help migrate folks across to Google Mail (there is a migration for *.pst to Google Mail).

What I did was to use my free Hotmail email which basically becomes an Outlook.com email which uses Outlook as the base. That way I could migrate it across that way.