As an Office 365 administrator, I would like to get some reports on Yammer with PowerShell. How it’s done?

Patrick Lamber wrote a good article here: “Access the Yammer REST API through PowerShell“. The only I would add (important!) is:

By default, even with a Verified Admin token, you do not have access to private messages and private groups content.
To get private stuff, you need select “Private Content Mode” under Yammer Admin Center -> Content and Security -> Content Mode:

Check Microsoft: “Monitor private content in Yammer” and
Yammer: “Verified Admin Private Content Mode“

If you do not have “Private Content Mode” set up, you might see some weird “Invoke-WebRequest” errors like: