Murray County has a total of 424.92 square miles of land and water, making it the third-smallest county in the state. The county's northern section lies in the Sandstone Hills physiographic region and is suitable for farming, while the southern portion is in the Arbuckle Mountains region, which is dominated by rolling hills and rock outcrops. The Washita River drains the county and is fed by Falls and Rock creeks, among others. Lake of the Arbuckles was completed on Rock Creek in 1966.

A succession of forts (Fort Towson, 1824; Fort Washita, 1842; and Fort Arbuckle, 1851) offered limited protection to the Chickasaw in the decades prior to the Civil War when the area was recognized as part of "Scalp Alley," the borderline of conflict between Plains Indians and Choctaw-Chickasaw settlers. Problems with the Plains Indians ended within a decade after the war, but difficulties with outlaw bands who frequented area caves presented new problems for Chickasaw and federal law enforcement agencies alike.

In 1870 the U.S. General Land Office established the Initial Point, the basis for all subsequent surveys in Oklahoma except the Panhandle, at a site just south of old Fort Arbuckle and six miles west of present Davis. Long recognized for its grazing potential, Murray County included a number of ranches within its realm. Earlier, the abundant grasses had made the area known as "the Prairie of Eden" because of the plentiful game. Chickasaw ranchers Noah Lael and Perry Froman operated and headquartered near Sulphur by 1881. Settlements of farmers and businesses expanded through the decade, spurred by the completion of Atchison, Topeka and Santa Fe Railway lines through Dougherty and Davis in 1886-87. Post offices were established at these locations in 1887 and 1890, respectively.

In the meantime, Sulphur began development around the springs from which it took its name. The springs encouraged the location of bathhouses and spas. Several were established by the time that community added a post office in 1898. The Sulphur Springs Railway (acquired by the St. Louis and San Francisco Railway in 1907) arrived there in 1902, and the 1904 establishment of Platt National Park with headquarters at Sulphur spurred the expansion of services for health-seekers. Other visitors were drawn to the park and to nearby Turner Falls, making Sulphur one of the state's earliest recreational centers. The town grew accordingly, and its population of four thousand at 1907 statehood made it the choice as county seat. The location of the State School for the Deaf and a Veterans Center added to the region's economy. Limestone quarries were also significant. The most important example of this activity began in the 1890s at Big Canyon, home to operations of the Dolese Brothers, whose company became a major state employer.

Cattle ranching, the other primary industry, continued into the twenty-first century, and Murray County has long been recognized as the center of "Hereford Heaven." Notable ranching operations included those of Oklahoma Gov. Roy J. Turner. On New Year's Eve, 1947, the Flying L Ranch near Davis was the site for the marriage of Roy Rogers, "King of the Cowboys," and Dale Evans.