Immediately after graduating in January 1913, he served as a Midshipman on the Royal Navy vessel on duty protecting British interests in the Mexican Revolution, and then aboard . At the outbreak of World War I he was assigned to the protected cruiser , the largest ship in the Royal Canadian Navy during World War I. Four of his classmates were sent to the Royal Navy cruiser and were killed off the coast of South America on 1 November 1914 at the Battle of Coronel – thereby becoming the first Canadian-service casualties of World War I. Murray served briefly as Flotilla Gunnery Officer on and then in February 1916 was promoted to Sub-Lieutenant while aboard . He spent the last two years of World War I as Assistant Navigating Officer on from January 1917 as Lieutenant, where he set up troop convoys across the Atlantic to outwit German U-boats – invaluable experience for the Battle of the Atlantic more than 20 years later. Murray ended the war in the North Sea aboard , and witnessed the surrender of the German fleet at Scapa Flow.