How Threaded Messages Work on Your iPhone
Apple lets you thread messages on your iPhone, or have Mail automatically group related missives. The beauty of this arrangement is that you can easily trace back an e-mail conversation.
When you organize messages by a thread, the related messages show up as a single entry in the mailbox, with a number next to the right-pointing arrow in the entry indicating how many underlying messages are represented by the thread.
So the number 6 next to Robert's message (left) shows that six messages constitute this particular thread; when you tap that listing, the six threaded messages appear, as shown on the right.
You have to turn on threading in Settings. From the Home screen, tap Settings→Mail, Contacts, Calendars→Organize by Thread.
Finally, tap the button so that it reads On. You may have to scroll down to see the Organize by Thread setting.
When you look at a message that’s part of a thread, the numbers at the top of the screen tell you your location in the conversation.
For example, the message is number 1 of 6 in this thread.