Murray was a devoted baseball fan, and he is said to have played with the New York Highlanders (Yankees) in exhibition games. He also supposedly sometimes called in sick to recording sessions in order to go to the ballpark. Murray recorded "Tessie, You Are the Only, Only, Only", which became the unofficial theme of the 1903 World Series, when the words were changed from "Tessie, you know I love you madly" to "Honus, why do you hit so badly?"