He portrayed Steve Zissou in The Life Aquatic with Steve Zissou, Tommy Crickshaw in Cradle Will Rock, Bunny Breckinridge in Ed Wood and Bob "Bobby" Wiley in What About Bob?. He voices Baloo in the 2016 film The Jungle Book, as well performed a new version of The Bare Necessities. He was mentioned in the The Muppets episode A Tail of Two Piggies.
- Murray was once considered for the role of Buzz Lightyear in Toy Story along with Jim Carrey and Chevy Chase, who were also considered for the role. He was also considered for the role of James P. Sullivan in Monsters, Inc.
- He was originally considered for the role of Eddie Valiant in Who Framed Roger Rabbit along with several other actors. But he missed out on it, due to his method of receiving offers for roles.
- He was considered for the role of Obi-Wan Kenobi in Star Wars: The Phantom Menace.
- He was considered for the role of Captain Jack Sparrow in Disney's Pirates of the Caribbean: The Curse of the Black Pearl.