In 2014, Murray starred in "God Help the Girl", about three musicians in Glasgow. The film premiered at the Sundance Film Festival in January 2014, and Murray shared the World Cinema Dramatic Special Jury Award for the Delightful Ensemble Performance. Later that year she continued her role as Gilly in "Game of Thrones" season 4. She also starred in the acclaimed revival of Jean-Jacques Bernard’s play "Martine", playing the title role. Her performance was considered one of the most beautiful and heartbreaking of the year by the public and critics, and she was nominated for Best Female Performance at the Off West End Awards.