Murray began by making television documentaries for Channel Four's Cutting Edge series including Playing For England and Seconds To Impact (cameraman and editor), and short films Outsiders and This Was My War, co-directed with Beadie Finzi.
In 2005 he directed British documentary film Unknown White Male, the story of an Englishman Doug Bruce living in New York who experienced retrograde amnesia.
Influential film critic Roger Ebert of the Chicago Sun-Times said that he was "convinced of its truthfulness".
[3] In 2007 he directed Wild Art: Olly and Suzi for BBC Storyville.
[5] The film was shown at Sundance 2009 and has resulted in major retailers changing their fish sourcing policy.