Born the son of Charles Murray and Anne Murray (née Graves) and educated at Cheltenham College and the Royal Military College, Sandhurst, Archibald Murray was commissioned into the 27th Regiment on 13 August 1879. He was appointed adjutant of his regiment on 12 February 1886. After promotion to captain on 1 July 1887 and taking part in the suppression of a Zulu uprising in 1888, he became adjutant of the 4th Battalion, the Bedfordshire Regiment on 15 December 1890. He attended Staff College, Camberley in 1897.