Murray was the 13th head football at the Marquette University in Milwaukee, Wisconsin. He held that position for nineteen seasons, from 1922 until 1936, and then returned for four more, from 1946 until 1949. His coaching record at Marquette was 104–55–6, ranking him first in school history in wins and eighth in winning percentage (.648). In 1937, he took led Marquette to the Cotton Bowl Classic. Murray was also basketball coach at Marquette for nine seasons (1920–1929) and compiled a record of 94–73 (.563). His best team was the 1922–23 squad, which posted a 19–2 record.