Murray hasn't surrendered a goal in his past 206:26 against Nashville, since allowing Viktor Arvidsson to score at 13:08 of the second period in Game 4 of the Cup Final.
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The shutout was Murray's sixth in 62 NHL starts and first in the regular season since he made 27 saves in a 3-0 win against the Vancouver Canucks on March 11. He rebounded from allowing 11 goals on 65 shots in his first two games this season.
'"You just kind of forget about it. Those nights are going to happen," Murray said. "Obviously, it's not good and it's not fun playing in a game like that, but it's about how you get up for the next one. I think our whole team had that mindset.
"Tonight showed our character. … We played about as solid a game as we could have. It's exactly what we needed."
The Penguins (1-1-1) recovered from being outscored 15-5 in their first two games, including 10-1 against the Chicago Blackhawks on Thursday.
"We're more concerned with how we're playing," Penguins coach Mike Sullivan said. "As long as we're playing the right way, we believe we have a good group."