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Open Messages app. Then the message thread. Tap and hold the message you want to delete. Tap More from the resulting pop up. Then mark the messages you would like to delete and tap Delete. You can also tap Delete All if you would like to delete all messages.
If you want to delete multiple message threads at once, then open Messages, tap Edit at top left, mark the messages on the circle left to each and then tap Delete.
Note : Remember, you have to delete iMessage from each of your device if you have multiple devices there
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