Murray's account of his colonial service was published in 1898. In 1899, Murray was posted to South Africa as aide-de-camp to General Sir H. C. Chermside in South Africa. He fought in the Second Boer War and was present at the Relief of Kimberley. In late 1901 he raised Fincastle's Horse (31st Battalion Imperial Yeomanry), and was appointed in command of the battalion with the temporary rank of Lieutenant-colonel 22 January 1902. The battalion numbered 32 officers and 603 men, recruited mainly from the Highlands. They left Edinburgh in April 1902 to embark the SS Galatea for South Africa, where they arrived the following month. For his service in South Africa he earned a Mention in Despatches.