Murray, one of nine children, was born in Chicago, 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 Murray, Joel Murray and John Murray. A sister, Nancy, an Adrian Dominican Sister in Michigan, travels the country portraying St. Catherine of Siena. Doyle-Murray uses his hyphenated name (Doyle is his grandmother's maiden name) because there is another actor with the same name. Brian attended Saint Mary's College of California in Moraga, California in the late 1960s.