Usually when you select a folder e.g. the inbox of a certain mail-account in the left-hand side list, Thunderbird will show you all the messages contained in the selected folder in the middle, including several details (depending on the column selection you did) like date or recipient. Also the leftmost column shows you a little tree-like-icon which, when clicked, enables a thread-view of your messages. Then messages belonging to the same conversation are grouped together such that one sees all messages belonging to a conversation easily by simply expanding it.
Now I was confronted with the problem, that I could group messages within one folder (e.g. in the inbox or the outbox), but not including several folders. Therefore conversations I saw in the list, contained either all the inbox- or the outbox-messages belonging to the same conversation, but not all messages (inbox and outbox at the same time).
There are several ways, one can achieve seeing the complete conversation belonging to a certain email, e.g. by using the addon “Thunderbird Conversations”, which shows you the whole conversation (inbox+outbox) in the content-window, when you select one message in the email-list above it. This does not show you all messages in the list-view, but only in the message-content-window.
But there is an easier way without the use of any addons: One can create a virtual folder (saved search), which contains all messages within inbox and outbox, and afterwards simply enable the grouping for this folder.
A virtual folder can be created by selecting the folder on the left hand side in which you want to insert it, then hitting Edit->Find->Search messages. Next you click on “Save search as a folder” and a window pops up, where you can give your new folder a name and where you can select all the folders you want to include in your virtual folder (here you select all inboxes and outboxes). If you wish, you can include conditions on the included messages as well.
Now you will see this virtual folder in the menu on the left, by clicking on it you see all the inbox+outbox messages and by enabling the grouping you achieved exactly what you wanted: Seeing the whole conversation.