With his first club, Tranmere Rovers, Murphy played in the 2000 Football League Cup Final, before joining West Bromwich Albion in July 2002. With his first touches in a Premier League game, Murphy saved a Michael Owen penalty following the sending off of Russell Hoult. He spent the majority of the 2004–05 season on loan at Walsall. In August 2005, he moved from West Brom to Sunderland, but was again loaned to Walsall during 2005–06.