The 31-year-old, who left Hibernian in the summer and had been coaching kids in the United States, succeeds Alan Adamson at the Bet Butler Stadium and will combine playing with managing once he regains match fitness.
Dumbarton sit at the foot of the Irn-Bru First Division with just one win all season and Murray, who has coached at non-league sides Coldstream and Spartans, as well as taking Hibs' under-17s, admitted it will be a tough task to keep his new club in the division. However, the chance to begin his managerial career was too good to turn down.
"Moving into management is something that I've always been interested in and I'm very fortunate to have been given the chance, without any previous experience, to manage a first division club at 31," he said. "I'm probably one of the youngest managers in Scotland, and maybe even in Britain.
"You always wonder, what if? When a job like this comes a long, you have to take it. Jobs are hard to come by in any walk of life and I'm elated to be given this chance. Yes, the team are bottom and six points adrift but there is still plenty of time left to change that. The club, the board and myself share an optimism that Dumbarton can stay in the league. It is a part-time team in a full-time league but I am not daunted by the challenge."
Murray hopes to pick the brains of his former coaches – including McLeish and Paatelainen – for pointers as he takes the first steps in what he hopes will be a long and successful career. "I have tried to learn something from the managers I worked with but the biggest influence on me was Alex McLeish," he said. "I was just a youngster at Hibs and he gave me my debut there and then took me to Rangers.
"I also worked closely with Colin Calderwood and remain in contact with him, as I do with Mixu Paatelainen. Donald Park was my youth manager at Easter Road and the assistant there as well three times so I have a good network of people that I can ask for advice.
"I will definitely speak to Alex as it was a real compliment when he took me to Ibrox. I know that they will be there for me, although Mixu is hard to get hold of in his Finnish national job. I will be my own man but I am sure Alex will be happy for me to get in touch as he still gives Sir Alex Ferguson a ring."
Murray had trials with Brechin City and Dunfermline Athletic, as well as training with Tampa Bay Rowdies in the United States, after leaving Hibs without managing to agree a deal. He plans on continuing playing, though, when he is up to full fitness. "I'm a few weeks away," he explained. "If you were to ask me to run 15 kilometres I would be fine, but if I was to play 90 minutes of football that would be different because I don't have the sharpness yet. That will come and hopefully by Christmas I should be okay."
Jack Ross, who will continue as assistant manager after acting as caretaker, will remain in charge against Dunfermline on Saturday and Murray is grateful to have him alongside him. "I do not know a lot about the players but Jack knows them well and he will take the team for the game at Dunfermline on Saturday. I know Jim Jefferies [the Dunfermline manager], and his assistant Gerry McCabe used to be at Dumbarton so it is quite an ironic meeting."