The younger Alexander Murray was commissioned as a Captain in the 90th Perthshire Volunteers in 1796 and served in the regiment until 1800, when he moved to the Royal Clan Alpin Fencibles, of which his father was Colonel. He was given the rank of Major. After the Fencibles disbanded two years later, he transferred to the 67th Regiment and then in 1808 became Lieutenant-Colonel of the 1st Battalion of the 6th Regiment. He was with it when it carried out the Walcheren Expedition in 1809. In 1812, he became Lieutenant-Colonel in the 4th Ceylon Regiment and was promoted to the rank of Colonel in the Army in 1814. He was placed on the half-pay list two years later and promoted to Major-General in 1825.