 During Murray's 1935 trip to Palestine, she had taken the opportunity to visit Petra in neighbouring Jordan. Intrigued by the site, in March and April 1937 she returned in order to carry out a small excavation in several cave dwellings at the site, subsequently writing both an excavation report and a guidebook on Petra. Back in England, from 1934 to 1940, Murray aided the cataloguing of Egyptian antiquities at Girton College, Cambridge, and also gave lectures in Egyptology at the university until 1942. During the Second World War, Murray evaded the Blitz of London by moving to Cambridge, where she volunteered for a group (probably the Army Bureau of Current Affairs or The British Way and Purpose) who educated military personnel to prepare them for post-war life. Based in the city, she embarked on research into the town's Early Modern history, examining documents stored in local parish churches, Downing College, and Ely Cathedral; she never published her findings.
