But he's dressing down for his latest starring role in Rodrigo Cortes's Red Lights, as a sceptic on the trail of Robert De Niro's showbiz medium.
Murphy chats to Digital Spy about the surreal experience of working with boyhood heroes and why he's open to the idea of an afterlife.
"They were unbelievably nice and lovely and warm to me," he said of his co-stars. "I think actors like Robert De Niro and Sigourney Weaver, they must recognise the effect they have on an actor of my generation because they were so important to us and their movies were so important to us growing up.
"They're so generous. I suppose you try and leave that stuff outside when you get on set and you try and do justice to the scene and the characters."
Red Lights opens in UK cinemas today (June 15).