Born near Crawfordsville, Indiana, McMurry studied at the University of Michigan and at Halle and Jena in Europe, earning a Ph.D. in 1889. Before teaching in higher education, he served as the principal of Carter High School (Englewood). He taught at several colleges, first as professor of pedagogics at the University of Illinois and then at Columbia University where he was appointed professor in 1898. While at the University of Illinois he introduced the "practice-teaching" method, which is now commonly known as "student teaching" and is found in most teacher training programs across the country. With Ralph Stockman Tarr he published the Tarr and McMurry Common School Geographies (1900), and with his brother Charles, Method of the Recitation (1903).