Saturday's Ricoh Arena result left both teams in the bottom three of the division, with the sides having one point to their name between them going into the game.
The Hornets should have taken the lead after only two minutes when Carl Dickinson crossed for Mark Yeates but he failed to connect cleanly with his volley and Murphy easily saved.
Watford, still looking for their first win of the season, looked the more dangerous early on, and Marvin Sordell stung Murphy's palms with a long-range effort.
The first chance for Andy Thorn's side came from a Chris Hussey cross which Scott Loach had to parry to safety.
In a first half of few chances, John Eustace could have given the Hornets the advantage after 28 minutes, but he headed Yeates' corner wide from just six yards out.
The home side started to play their way into a game which was short on quality, but Lukas Jutkiewicz almost changed that two minutes later by going past two Watford defenders and unleashing a fierce drive that drifted just over the crossbar.
Eustace forced a fantastic save from Murphy 10 minutes before the break when he saved a rasping drive.
Murphy was again called into an action on 40 minutes, this time denying Ross Jenkins' long-range effort, but his powerful effort just outside the area was parried to safety.
Chances were few and far between in the second half and Murphy was repelling anything the visitors could throw at him, keeping out a powerful Sordell strike in the 67th minute.
Coventry had an effort from substitute Freddy Eastwood saved by Loach after 70 minutes.
It sparked the Sky Blues into life and they went agonisingly close to taking the lead two minutes later when Jutkiewicz found space on the right side of the area but his powerful shot was brilliantly tipped around the post by Loach.
Murphy made a fantastic double save with six minutes to go. He first saved from Matthew Whichelow and when the ball fell to Sordell with the goal at his mercy, Murphy was once again in the way to thwart the Hornets.