Murray, one of nine children, was born St. Francis Hospital in Evanston, Illinois. He is the son of Lucille (née Collins), a mail room clerk, and Edward J. Murray II, a lumber salesman. His parents were Irish American and Catholic. He is the older brother of actors Bill, John, and Joel. A sister, Nancy, an Adrian Dominican Sister in Michigan, travels the country portraying St. Catherine of Siena. Brian attended Saint Mary's College of California in Moraga, California, in the late 1960s.

Murray worked at The Second City comedic stage troupe in the early 1970s. He has appeared in numerous films and television shows since then, including as a featured player on NBC's Saturday Night Live from 1979 to 1980 and from 1981 to 1982. He wrote for Jean Doumanian from 1980 to 1981, one of the few cast members to work for all three producers of SNL (Lorne Michaels, Jean Doumanian, and Dick Ebersol). He was a regular on The National Lampoon Radio Hour, a comedy program syndicated nationally to 600 stations from 1973 to 1975. Co-workers on the Radio Hour included Richard Belzer, John Belushi, Gilda Radner, Harold Ramis, and younger brother Bill. He appears in many films with his brother, Bill Murray. However, he has also landed roles in other films. Early on, he appeared in Modern Problems alongside Chevy Chase. Again, years later, he memorably appeared as Chevy Chase's uptight boss, Frank Shirley, in National Lampoon's Christmas Vacation (1989), and co-starred as arcade tycoon Noah Vanderhoff in the film version of Wayne's World (1992). He landed a small role as Assassin Jack Ruby in JFK (1991). He was also seen in the movies Snow Dogs (2002) and 17 Again (2009).

Doyle-Murray was nominated for three Emmy Awards in 1978, 1979, and 1980 for his work on Saturday Night Live in the category Primetime Emmy Award for Outstanding Writing for a Variety, Music or Comedy Program. Two other younger brothers, Joel and John, are actors, as well. His oldest brother Ed is a businessman, and brother Andy is a chef, and runs the Murray Brothers "CaddyShack" restaurant located in the World Golf Village resort near St. Augustine, Florida. Doyle is his grandmother's maiden name, and he chose to hyphenate it to avoid confusion with another actor.

He was Mel Sanger, the bubble boy's dad, on Seinfeld, and played Joe Hackett's high school baseball coach on a 1992 episode of Wings. He co-starred of the Fox TV series Get a Life and Bakersfield P.D. from 1991 to 1992 and 1993 to 1994, respectively, with a recurring role as Sports Editor Stuart Franklin on the Fox/UPN TV series Between Brothers from 1997 to 1999. He played studio head and Greg Warner's (Anthony Clark) boss George Savitsky on Yes Dear. He played Shawn Spencer's grandfather on the episode "The Old and the Restless" on the USA Network TV series Psych, with an uncredited cameo in the sixth season. He had a recurring role as Mr. Ehlert, owner of the car dealership where Frankie Heck works on the ABC-TV series The Middle. He co-starred on the TBS sitcom on Sullivan & Son, where he played the foul-mouthed Hank Murphy.

Known for his gruff voice, Murray voiced the Flying Dutchman on Nickelodeon's SpongeBob SquarePants, appeared in one episode of The Angry Beavers ("Dag Con Carny") as Smelly Jim, a small role as the Grandfather on Lloyd in Space, Coach Gills on Cartoon Network's My Gym Partner's a Monkey, Captain K'nuckles on The Marvelous Misadventures of Flapjack, and Maggie's dad on Disney Channel's The Buzz on Maggie. He has also appeared as Salty in the Family Guy episode "A Fish out of Water", the voice of Jack the barber on King of the Hill, the voice of the mayor in the Ghostbusters video game, the voice of Qui the Promoter in the 2005 video game Jade Empire, a minor appearance on the Disney show Recess during a yo-yo competition, Prince Huge on Adventure Time in the episode "The Hard Easy", Charlie in Mike Judge's The Goode Family, and Jacob on Motorcity. Murray was also contracted to voice Eustace in the cancelled reboot of Courage the Cowardly Dog. Murray voiced the villainous corporate executive Mr. Twitchell on the Christmas special Frosty Returns.