John Eustace and Troy Deeney had the best of the chances but Murphy stood firm to earn Coventry a vital point. Their search for a first Championship away win of the season continues, however.
Andy Thorn's side went into the game on the back of 10 successive away defeats and made one change to last weekend's draw with Birmingham with Clive Platt replacing Cody McDonald in attack.
In contrast the Hornets were in good form on the back of two wins and a draw from their previous three games and handed a debut to 19-year-old Britt Assombalonga up front in place of Joe Garner.
The Sky Blues started the brighter of the two sides, adopting a direct game looking to play off the head of giant striker Platt but it was the home side who threatened first.
Experienced midfielder Eustace played a one-two with left-back Carl Dickinson on the left before delivering a cross to the back post where Sean Murray, looking for a fourth goal in his last five games, headed over unmarked from six yards.
The Hornets then went close with another header after 12 minutes.
Alex Kacaniklic swung the ball in from a right-wing corner onto the head of Assombalonga but the striker's glancing header drifted narrowly over Murphy's crossbar.
At the other end Nyron Nosworthy's mistake let in Platt but he was denied by Adrian Mariappa's tackle and from Gary McSheffrey's resulting corner, Nathan Cameron thought he had headed the visitors ahead only for referee Colin Webster to rule it out for a push at the near post.
McSheffrey was starting to look threatening down the Coventry right and ten minutes before the interval his cross picked out Platt whose powerful downward header forced Mariappa to clear off the line.
The game developed into a scrappy affair for the remainder of the opening period but both sides had opportunities to edge in front before the break.
Eustace, playing against his former team, squandered a great chance after 41 minutes when he sidefooted Lloyd Doyley's cross wide from six yards and Hornets keeper Tomasz Kuszczak had to be at his best to tip Gary Deegan's rasping right-foot effort around the post seconds before the whistle.
Sean Dyche's side came out firing after the restart and Eustace appeared to be determined to dent Coventry's survival chances as he latched onto Kacaniklic's ball into the box only for Martin Cranie to block his goalbound effort behind for a corner.
The hosts introduced Chris Iwelumo for Assombalonga with half an hour remaining and moments later Coventry keeper Murphy was forced into a fine save from Deeney's drilled strike from the edge of the area.
And Murphy was again called into action 15 minutes from time with two saves in quick succession. The Irishman firstly blocked another effort from Deeney at point-blank range before palming away Eustace's well-struck drive.
Substitute McDonald had Coventry's best chance of the closing stages but his close-range effort was scrambled away by Mariappa, leaving the Sky Blues four points from safety.