He leaves the job this month after four years at the FSA and will go on gardening leave.
An FSA spokeswoman said Murray was considering other projects.
Murray joined the FSA in April 2006. His remit included overseeing departments including public affairs, media relations, internal comms and events.
Before joining the FSA, Murray co-founded financial PR shop Powerscourt alongside Rory Godson. He also previously worked as head of comms at Telewest.
Murray started his career as a journalist including a stint on The Independent.
The FSA's director of comms John Murray quits after four years
The Financial Services Authority's longstanding director of comms John Murray is leaving the trade body without a job to go to.
