Why Is Junk Mail Filter Not Working?

Mac Mail doesn’t seem to respect when I tag an email as junk. The darn junk mail still keeps coming. Also, when I tag an email as NOT junk it keeps going to the junk mailbox. Is there a way to fix this?
it’s frustrating to have to keep scanning my junk mail folders for six mail accounts looking for valid emails that I keep telling Mac Mail they are not junk.
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Kurt