He has appeared with his younger brother, actor/comedian Bill Murray, in several films, including Caddyshack, The Razor's Edge, Scrooged, Ghostbusters II, and Groundhog Day.

He also appeared in the Nickelodeon animated series SpongeBob SquarePants as The Flying Dutchman, the Cartoon Network original animated series My Gym Partner's a Monkey as Coach Tiffany Gills, The Marvelous Misadventures of Flapjack as Captain K'nuckles, a recurring role as Don Ehlert on the ABC sitcom The Middle, and Bob Kruger in the AMC dramedy Lodge 49.

He is one of nine children born to Irish Catholic parents[5] Lucille (née Collins; 1921–1988), a mailroom clerk, and Edward Joseph Murray II (1921–1967), a lumber salesman.

He has appeared in numerous films and television shows since then, including as a featured player on NBC's Saturday Night Live from 1979 to 1980 and from 1981 to 1982.

Co-workers on the Radio Hour included Richard Belzer, John Belushi, Gilda Radner, Harold Ramis, and younger brother Bill.

He was also seen in the movies Sixteen Candles (1984), Club Paradise (1986), Legal Eagles (1986), How I Got Into College (1989), Jury Duty (1995), Multiplicity (1996), The Jungle Book: Mowgli's Story (1997), As Good as It Gets (1997), Dr. Dolittle (1998), Stuart Little (1999), Kill the Man (1999), Bedazzled (2000), Snow Dogs (2002), Nearing Grace (2005), Daddy Day Camp (2007), and 17 Again (2009).

He portrayed Mel Sanger, the bubble boy's dad, on Seinfeld, and played Joe Hackett's high-school baseball coach on a 1992 episode of Wings.

He played Shawn Spencer's grandfather on the episode "The Old and the Restless" on the USA Network TV series Psych, with an uncredited cameo in the sixth season.