In June 1811, Murray exchanged into the 8th Light Dragoons and went to the East Indies, arriving in October that year. He was appointed Deputy Quartermaster-General in January 1812 with the rank of Lieutenant-Colonel. He transferred back to the 8th Light Dragoons three years later. In June 1816, he was appointed Deputy Adjutant-General and served in the Deccan under Sir Thomas Hislop in the Third Anglo-Maratha War. An obituary in the "United Service Journal" records that he "distinguished himself" at the Battle of Mahidpur (December 1817) by leading the attack on the batteries under Maharaja Malhar Rao Holkar II's command. After Holkar's forces were defeated in the battle, most of his border fortresses surrendered. The last holdout was the fort at Talnar (or Talnier). There, the following February, Murray joined Hislop's forces in storming the fort. Although the attack was successful (though controversial for Hislop slaughtered the remnants of the Maratha garrison after it had surrendered), Murray was severely wounded (sustaining seven dagger wounds); he was left unable to use his right arm. Murray's stand, surrounded by enemies, was captured in a watercolour by William Heath, which is now housed in the British Museum's collections. He was appointed a Companion of the Order of the Bath (CB) in October 1818 but was forced to return to England in July 1820 because of his injuries.