This common word looks weird because we no longer know the relevant meaning of the second part. It has nothing to do with mail delivered by the postal carrier, which is from Old French male, for a wallet (the word transferred from the pouch carried by a messenger to the things carried in the pouch). Nor is it linked to the chain mail of medieval knights; this comes from Latin macula for a spot or mesh, referring to the individual metal bits of the mail. (So blackmail, despite what you sometimes read, has nothing to do with medieval knights’ chain mail turning black as ghastly retribution for dishonourable deeds.)
The mail in blackmail (at various times also spelled maill, male and in other ways) is an old Scots word for rent. This was usually paid in what was often called white money, silver coins. It comes from Old Norse mal, meaning an agreement, later a contract, and then the payment specified by the contract.
In the sixteenth and seventeenth centuries chieftains in the highlands of Scotland and along the border between Scotland and England ran protection rackets in which they threatened farmers with pillage and worse if they didn’t pay up. This amounted to an informal tax or extra rent and the farmers, with twisted humour, thought of it as the opposite of the legitimate white money or white mail that they paid. Black has for many centuries been associated with the dark side of human activities, hence blackmail.
The term was extended in the nineteenth century to other ways of extorting money with menaces, and in particular to the threat of exposing a person’s secrets.