Best known for his two spells with Brighton & Hove Albion also played for Workington Reds, Wilmington Hammerheads, Barrow, Carlisle United, Stockport County, Rochdale, Crystal Palace, Reading, AFC Bournemouth, Watford and Nottingham Forest.

He spent one season with the North Carolina club playing 14 times and scoring three goals in the USL Professional League.

[16] On 27 September, he netted twice in a 2–2 draw at Northampton Town; his second put the team ahead in added time before Adebayo Akinfenwa equalised.

[18] On 17 October 2009, Murray won and converted a penalty for a consolation goal in a 2–1 defeat at Tranmere Rovers, but three minutes later was sent off for a second yellow card.

[20] Murray's season ended on 24 April 2010 with Brighton's 2–1 win over Bristol Rovers to stay in the division; he was sent off ten minutes after coming on as a substitute for Chris Holroyd.

[25] He made his debut – his first match in the Championship – in the starting eleven as Palace began the season with a 2–1 loss at Peterborough United on 6 August.

[31] He scored twice in a 3–0 home win over former club and now bitter rivals Brighton on 1 December, a result which put Palace on top of the league table.

[35] Murray missed the play-off final, in which Palace secured promotion to the Premier League, having suffered a serious knee injury in the semi-final against Brighton.

[36] Murray came back from injury as a 72nd-minute substitute for Jason Puncheon on 8 February 2014 in a 3–1 home win against West Bromwich Albion.

[37] On 2 March, he scored his only goal of the season and his first in the Premier League, winning a late penalty against Swansea City after being fouled by Chico Flores and converting it past Michel Vorm to earn a 1–1 away draw.

[46] On 16 May against Liverpool, in Steven Gerrard's final match at Anfield, Murray's penalty was saved by Simon Mignolet but he hit in the rebound to confirm a 3–1 victory.

[47] On 7 August 2015, Crystal Palace rejected a £3 million bid for Murray from Premier League rivals AFC Bournemouth.

[49] He scored his first goal for Bournemouth on 3 October in a 1–1 draw with Watford, a fellow newly promoted team, but had a penalty saved late on.

[54][58] Newly promoted Brighton made a positive start to their inaugural Premier League season, sitting in 8th place after eleven games.

His scoring run began with two against West Ham United in a 3–0 away win, and he followed it up with goals against Southampton at home and Swansea City away, earning Brighton four points.

[59] On 8 January 2018, Murray scored the winning goal in Brighton's 2–1 victory over arch rivals and former club Crystal Palace to eliminate them from the FA Cup at the third-round stage.

Murray took the omission with humour and posted a picture on Twitter of him and Dunk with their hands on their heads in disbelief – taken in a previous match – with a caption of laughing emojis.

"[71] Murray only scored one league goal in Brighton's third year in the top flight starting 7 of his 23 appearances in which he also provided one assist.

On 1 February 2021, Murray signed a permanent deal with Championship side Nottingham Forest until the end of the season on a free transfer, once again linking up with former Brighton manager Chris Hughton and players Anthony Knockaert and Gaëtan Bong.

[80] He made his debut a day later coming on as a substitute in the 76th minute for goalscorer Lewis Grabban in a 2–1 away win over Coventry City.

On 31 May 2021, Murray announced his retirement with immediate effect via social media at the age of 37, thanking "clubs, players and fans I've come across on this life changing journey".