Paul started his career with his hometown club Carlisle United in 1994 and two years later he joined Queens Park Rangers on loan. After the Hoops' relegation he signed for them permanently for a transfer fee of £300,000. Paul made his debut at Nottingham Forest in 1996 and whilst at Q.P.R. he was called up four times for the England U21 squad, and in February 1998 he made his solitary appearance for England B as a substitute against Chile. He enjoyed a successful time at Loftus Road, playing 140 league games before he joined Premiership side Southampton in 2001, though he played only one game for the south coast side.

In December 2001 Murray joined Oldham Athletic, where he spent three and a half years, before he joined Portuguese club Beira-Mar. He re-signed for Carlisle United in the close-season after their promotion to League One, and scored against Doncaster Rovers in the opening game of the 2006-07 season before he was released by the club in May 2007.

Murray joined newly-promoted Scottish Premier League outfit Gretna in June 2007 on a one-year contract and when this expired, Paul turned down a number of clubs to move south of the border and join Shrewsbury Town in May 2008. Last season was frustrating for Murray as he had some injury problems but still managed more than 30 games.