However, Connor has yet to win a game in charge of the Midlands club as they sit nine points from safety at the bottom of the Premier League table.
"The decision to get rid of Mick McCarthy certainly hasn't worked," Murray told talkSPORT. "It was always going to be a big ask for whoever came in.
"Terry Connor has given everything, you can't blame him. What disappointed a lot of fans was that they expected someone experienced to come in."
Wolves continue their battle for survival at Sunderland on Saturday.