Five officers were shot dead in Dallas on Thursday at a rally protesting the police killings of two African Americans on successive days last week.
The events have reignited an ongoing debate about how to end gun violence in America, alongside topics related to civil rights and racial profiling.
Murray, from Dunblane, Scotland, happened to be an 8-year-old student at the scene of one of the deadliest mass shootings in British history. In March, 1996, 16 children and their teacher were shot dead by man who then killed himself. Murray and older brother Jamie were shielded in a nearby classroom, unaware of the killings until afterward.
The murderer, Thomas Hamilton, was a familiar face who ran a local boys' club.
Debates following the disaster led to a change in gun policy in the UK, making it much more difficult for private citizens to own handguns. Murray hopes similar discussions will follow in the U.S.
"It's shocking really. It's just tough to watch, tough to read about," he told CNN the morning after his second Wimbledon victory. "I was in the primary school in Dunblane when that happened, and since then they obviously brought in gun controls."
There has been just one high-profile mass shooting in the 20 years since Dunblane -- a 2010 incident in Cumbria, England which claimed 12 lives -- although shooting sprees in the UK were not common beforehand.
In stark contrast, there have been 181 mass shootings in the U.S. so far this year following 332 in 2015, according to the Gun Violence Archive which defines a mass shooting as an event where four or more people other than the culprit are shot or killed.
"I don't know what the answer is in the States, but I know that something needs to change because that can't continue to happen." he added. "When you see it happening to young children as well... being a father I can't imagine how difficult it would be.
"You know you don't have to take away all of the guns but change something to stop that from happening," he said.