Murray took a feed from R.J. Umberger and beat backup goalie Jeff Zatkott. Murray was the No. 2 pick in the 2012 NHL draft but missed the season with a shoulder injury.
Chuck Kobasew got Pittsburgh even 4-4 at 13:05 of the third period with a power-play goal - his second tally of the game. Mark Letestu and Cam Atkinson scored 30 seconds apart earlier in the period to give Columbus a 4-3 lead.
Dustin Jeffrey's power-play goal for Pittsburgh had made it 3-2 at 4:19.