From his mother's first marriage, he had an elder half-brother, Sir Alexander Murray, 1st Baronet.
Among his siblings of his parents marriage were Andrew Dalrymple (who immigrated to the Massachusetts Bay Colony giving up his right to the family title), Sir James Dalrymple, 2nd Baronet (who married Lady Christian Hamilton, daughter of Thomas Hamilton, 6th Earl of Haddington), and Janet Dalrymple (who married Sir John Baird, 2nd Baronet and, after his death, Gen. James St Clair).
His maternal grandfather was Sir James Rochead, 1st Baronet of Inverleith and his aunt, Mary Rochead, was the wife of Sir Francis Kinloch, 3rd Baronet.
[4] In 1709, his father became Lord Advocate of Scotland and purchased Whitehills House as a family seat, renaming it Newhailes after the Dalrymple's Hailes Castle.
[7] In recognition, he assumed these names on succeeding to the estates of the Murrays of Melgund in Forfarshire, and Kynnynmond in Fife.