Murray, the fifth of nine children, was born and raised in Wilmette, Illinois (suburban Chicago), the son of Lucille (née Collins), a mail room clerk, and Edward J. Murray II, a lumber salesman. Murray, along with his brothers, grew up in an Irish Catholic family. Three of Murray's siblings are also actors: John Murray, Joel Murray, and Brian Doyle-Murray. A sister, Nancy, is an Adrian Dominican Sister in Michigan who travels around the country portraying St. Catherine of Siena.

Growing up, Murray's family had little money and his mother pressured her children to get jobs. As a child, Murray read biographies for children of American heroes like Kit Carson, Wild Bill Hickok and Davy Crockett. He attended Loyola Academy. As a teenager, he worked alongside his brothers as a caddy to pay for his tuition in a Roman Catholic High School. The 1960s were tough on Murray and his family. His father had diabetes, one of his sisters had polio and his mother had several miscarriages. Duri