The world champions have not lost at their 50,000-seater fortress since France's Jean-Luc Sadourny scored the "try from the end of the world" to claim a famous victory in 1994.
Something pretty special will probably be needed for the Lions to end New Zealand's streak in the first of three tests but Murray thinks the Lions might just be the side to produce it.
"This is a whole new pod of players, massive talent, and I think we're more excited about that than their record," the scrumhalf told reporters on Friday.
"It's a really impressive record but if there was ever a team that has the potential, if we click, we'd be excited about what we can do.
"That's the challenge against the best team in the world and that's the way we want it to be."
Murray is one of the few modern players who know what it feels like to have beaten the All Blacks, having orchestrated Ireland's 40-29 victory in Chicago last year.
Despite All Blacks coach Steve Hansen cautioning the tourists against it earlier this week, the 28-year-old halfback thinks the Lions can draw lessons from that win.
"It's a new group of players and a completely different task but to know that it can be done is something we can build on," he said.
"You've got to be confident and willing to play rugby against the All Blacks ... you've got to keep attacking, keep playing the game and not go into your shell.
"Easier said than done, but you need to maintain that for 80 minutes."
Murray's booming box-kick has been one of the tourists' most potent weapons so far on the tour of New Zealand, moving the ball down the pitch and putting huge pressure on the opposition defence.
While the All Blacks can expect more of the same on Saturday in what look like being greasy conditions, Murray said the tactic required more than just the ball coming off his boot correctly.
"You've got to kick well but you've got to have the chase right and everything else around it has to work well too, it's not just one person," he added.
"The aerial battle is huge, hopefully it will be effective at the weekend."
Murray stopped himself a couple of times from predicting a victory in what will be the biggest game of his career and, asked whether the Lions would have a few surprises for the All Blacks on Saturday, his voice dropped to a whisper.
"Hopefully," he concluded. "Hopefully..."
(Editing by Peter Rutherford)
