The Predators had seven shots on goal in the final 37 seconds of the first period Wednesday, including good scoring chances by Viktor Arvidsson, Pontus Aberg, Filip Forsberg and Roman Josi.
Murray stopped them all to keep the game tied 1-1.
"You never want to allow anything in the last little bit of a period, never want to give them any momentum going into an intermission," Murray said. "So at the end of each period, it's a big point in any game, and we were able to weather that storm and kind of go from there.
"They came pretty hard from the start, and I just tried to make the next save. That's what my focus is, to hold them off as long as possible. After that, we have confidence we're going to score goals. That's a big point in the game. I thought we played a lot better after the first period."
The save on Forsberg, when Murray stretched out his left pad after stopping Aberg's quick shot off a faceoff, was particularly strong.
"He's excellent, made huge, huge saves for us at key times in this game, specifically one down low on his pad where he kept close, got the rebound and covered it up, even with them crashing the net," Penguins forward Chris Kunitz said. "He's been phenomenal, and in the times we haven't controlled play, he's been our best player out there and keeping them off the board."
The Penguins scored three times in the first 3:18 of the third take a 4-1 lead, and Murray made six saves in the period.
"It doesn't change my job whatsoever," he said. "I don't have any control over how many goals we score. I have full belief in this team, and that said, my job is to stop the puck and that's where my mindset stays."
Game 3 is at Nashville on Saturday (8 p.m. ET; NBCSN, CBC, SN, TVA Sports).
"I still don't think it was our best game," Murray said. "Like always, there's room to improve."
