Murray was born in Lonaconing, Allegheny County, Maryland. His parents were both born in Scotland. The public schools of Lonaconing provided his early education.
He attended the Wyoming Seminary in Pennsylvania and Drew Theological Seminary in New Jersey.
Murray's education was interrupted by the death of his father. He worked in mining and manufacturing from 1879 to 1892 in Kansas, Colorado, New Mexico and Alabama. During these years, he kept active in serving his church.
In 1881, he married Harriet M. Sprague. They married in Kansas and took up residence in Alabama. Their daughter Emeline was born there.
In 1884, Mrs. Murray and Emeline drowned when the steamer Belmont capsized on the Ohio River during a cyclone. Five years later, Murray married Clara A. Hunsicker, of the same town in Kansas. Six children were born to this marriage.