He spent four seasons with the Bruins before being traded to the Pittsburgh Penguins with Bryan Smolinski for Kevin Stevens and Shawn McEachern.

Murray's stay with the Penguins only lasted a little over a year and he was eventually on the move again; this time he was traded to Los Angeles Kings for Ed Olczyk.

Murray was traded back to the Boston Bruins with Jozef Stümpel for Jason Allison and Mikko Eloranta.

[3] Murray enjoyed his greatest offensive season in 2002–03, scoring 92 points (44 goals and 48 assists) for the Bruins and earning a spot in the 2003 NHL All-Star Game.

Three days later, on July 26, the Bruins announced the buyout of Murray's contract to free up salary cap room.