Most of his roles have been comedic, featuring Murray's dry wit. However, he has also played serious (or at least semi-serious) roles in films such as Mad Dog and Glory,The Razor's Edge and Rushmore. He also garnered considerable acclaim (an Academy Awards nomination, and Golden Globes and BAFTA awards) as the lead in the 2003 film Lost in Translation.
Murray is the fifth of nine children. Three of Murray's siblings are also actors: John Murray, Joel Murray and Brian Doyle-Murray. All four Murray brothers appeared in the 1988 film Scrooged.