Watch How to reply to or print only one piece of a threaded message in Gmail:
To print one message:
- Open the message you want to print.
- Click the down arrow next to the reply button, at the top-right of the message.
- Select Print.
To print an entire conversation:
- Open the conversation you want to print.
- Click the "Print all" button , located above your message pane.
Reference - Google Gmail Help - Printing messages