Murray was a founding member of the World Saxophone Quartet with Oliver Lake, Julius Hemphill and Hamiet Bluiett. He has recorded or performed with musicians such as Henry Threadgill, James Blood Ulmer, Olu Dara, Tani Tabbal, Butch Morris, Donal Fox, McCoy Tyner, Elvin Jones, Sunny Murray (no relation), Ed Blackwell, Johnny Dyani, Fred Hopkins, Don Pullen, Randy Weston and Steve McCall. David Murray's use of the circular breathing technique has enabled him to play astonishingly long phrases.
