The 57-year-old actor took several deep breaths before stepping out the open doors of a C-31 Fokker and dropping at about 120 mph to the city's lakefront with members of the Army Golden Knights Parachute Team.
An exuberant Murray, whose jump kicked off the 50th Chicago Air and Water Show, landed safely on a beach. The actor pretended for a moment to stagger as if dizzy, then smiled broadly, waved to the crowd and shook hands with some of the Golden Knights.
Friends asked Murray to participate in the show, which features demonstrations and performances in the air and on Lake Michigan, to support the Illinois United Service Organizations.
But he wasn't so certain of his reason to jump moments before he boarded the plane on a perfect 73 degree day at an Indiana airport 25 miles from Chicago. Members of the Navy Blue Angels also prepared nearby for the show, which runs through Sunday.
"It seemed like a good idea at a time," Murray said. "I've had second thoughts, believe me. I've been really nervous. All the jokes (from friends) involve death."
Before the jump, Murray underwent brief training on the ground. Army Staff Sgt. Joe Jones, who has made more than 3,500 skydives in his career, detailed the mechanics of the parachute and proper tandem jumping form.
"You're going to actually sit on my lap, is that OK?" Jones asked, showing laminated pictures of the dos and don'ts of jumping.
"Are you going to ask me what I want for Christmas?" Murray retorted.
Murray, who kept interrupting Jones with questions, then watched a training video starring actor Chuck Norris and members of the Dallas Cowboys cheerleaders, who have also made the jump. Murray said he didn't train, although he watched his weight to stay under a 240-pound requirement.
"Will my ears pop?" he asked. "Is there some frequent flier program?"
Murray's acting career has spanned decades, including roles in "Ghostbusters," "Caddyshack" and "Groundhog Day" and a 2003 Oscar nomination for "Lost in Translation."
At more than 2 miles above Chicago, the air temperature in the unpressurized plane dropped to 30 degrees. The roar of the plane's engines and winds coming through the open doors was deafening.
The crowds below waited at the city's North Avenue Beach. "Brady Bunch" actress Florence Henderson prepared to sing the national anthem, and crews set up for actor Gary Sinise's musical performance later in the evening with his group, the Lt. Dan Band.
Up in the plane, Murray, a native of Wilmette, Ill., looked out the window and took short calming breaths from a yellow oxygen tank.
A buzzer went off in the plane around 3 p.m. It was Murray's time to jump.
He and Jones, connected by ropes and harnesses, ambled down the aisle. After a countdown they stepped off, instantly disappearing into the skies below.
Once he landed, Murray said a Golden Knight jumper had tried to ease his nerves by telling him he would want to repeat the jump.
"But right now," Murray said, "I really feel like having a drink."
Associated Press writer Daniel Yovich contributed to this report.