Born on a farm near St. Thomas, Ontario, Canada, Murray graduated from St. Jerome's College in Berlin, Ontario in 1897. That same year his father died and he went to live with a wealthy uncle in Butte, Montana, James A. Murray, who owned valuable copper mines. His uncle sent him to New York to study law. He graduated from the law department of New York University in 1900, the same year he became an American citizen. He was admitted to the bar in 1901, and commenced practice in Butte, where he also engaged in banking and the management of his uncle's properties.