Murray's father obtained a commission for him as a lieutenant of the Saxon Army's Grenadier Guards, with a two-year leave to complete his studies. Taking up his commission in 1751, he served in the Seven Years' War, battling the Prussians until the capitulation that followed the Siege of Pirna. He obtained his release through the efforts of Andrew Michell, the British envoy to Frederick the Great. Returning to Scotland, he was given a captain's commission in his uncle's regiment, the Black Watch, and was placed in command of one of the companies being raised for the French and Indian War. He then sailed to North America and joined the fighting in New York State. His own company was left to garrison Fort Edward, but he was wounded at Fort Ticonderoga in 1758 while leading Captain Reid's company. The wound was not serious, and he was present for Amherst's campaign on Lake Champlain the following year. Late that year he was given command, at his uncle's recommendation, of the grenadier company of the 2nd Battalion of the regiment, raised in the previous year. He led them to the surrender of Montreal in 1760.