The Cowboys (27-5) were up nine with 2 minutes to go and Murray whittled it down in the end.
Connors State coach Bill Muse said going in that containing Murray's perimeter game would be key. The Aggies (21-10) were 2 of 9 from 3-point range.
Connors led 37-33 at the half. The Cowboys trailed by nine at one point in the first half and led by as many as 11 in the second.