He is well known for his roles in the television series Mad Men, Grand, Love & War, Dharma & Greg, Still Standing, and Shameless.

His other roles include the 1988 comedy film Scrooged, with his brothers Bill, Brian, and John.

He appeared in the 1992 movie Shakes the Clown with One Crazy Summer co-stars Bob Goldthwait and Tom Villard.

In the first, second, fourth, fifth and seventh seasons of the Emmy-winning AMC TV series Mad Men, Murray had a recurring role and appeared in 15 episodes as copywriter, Freddy Rumsen.

He has made guest appearances on television shows such as The Nanny, Joan of Arcadia, Two and a Half Men, Malcolm in the Middle, Criminal Minds, and Blossom.

In the 2012 film God Bless America he portrays Frank, a man whose contempt for superficiality and meanness in American society sends him over the edge and into a killing spree.