Murray was born in Dublin in 1975, the son of a professor of Anglo-Irish Drama at University College Dublin and a teacher. Murray attended Blackrock College in south Dublin, an experience that would later provide the basis for the school in Skippy Dies. He studied English literature at Trinity College, Dublin, and subsequently completed his master's in creative writing at the University of East Anglia. He also spent time in Barcelona as an English teacher, a time he did not enjoy, describing it as "a brief and unhappy stint teaching English to a Catalan businessman, who pointed out many faults in my grammar I had not known about hitherto". He describes Gravity's Rainbow as a very influential book to him.