Hello,
Did this start recently or after any changes to your mailbox?
Check your recent sign-ins at https://account.live.com/activity, then in Outlook on the web go to Settings, Mail, Rules and Forwarding and remove anything you do not recognize. After that, change your password and turn on two-step verification at https://account.microsoft.com/security.
If the issue continues after these steps, the messages are likely from spoofing outside your account, and securing your account is the correct action.