They also asked for privacy and that honour Murray by being kind to one another, in a statement released by the PGA Tour on Sunday, local time.
Murray, a two-time PGA Tour winner, spoke in January after winning the Sony Open in Honolulu turning the corner in his life, his golf and battles with alcoholism and mental health.
He died on Saturday morning.
Murray had to go through the Korn Ferry Tour to get his PGA Tour card back.
Then, he birdied the last hole at the Sony Open to get into a play-off and made a 40-foot birdie putt on the first extra hole for an emotional win.
"It's not easy," Murray said immediately after winning. "I wanted to give up a lot of times. Give up on myself. Give up on the game of golf. Give up on life, at times."
Murray tied for 43rd last week in the PGA Championship, which enabled him to hold his position among the top 60 to earn a spot in the US Open at Pinehurst in his native North Carolina.
He shot 68 in the opening round at Colonial. The next round, he was 5 over and coming off three straight bogeys when he withdrew citing an illness.
PGA Tour commissioner Jay Monahan said he spoke with Murray's parents halting play at Colonial and they insisted the golf tournament continue.
Monahan flew to Fort Worth, Texas, to be with players. Many of them wore black-and-red pins on their caps on Sunday in honour of Murray. Those are the colours of the Carolina Hurricanes, his favourite NHL team.
"We have spent the last 24 hours trying to come to terms with the fact that our son is gone. It's surreal that we not only have to admit it to ourselves, but that we also have to acknowledge it to the world. It's a nightmare," his parents shared in their statement.
"We have so many questions that have no answers. But one. Was Grayson loved? The answer is yes. By us, his brother Cameron, his sister Erica, all of his extended family, by his friends, by his fellow players and — it seems — by many of you who are reading this. He was loved and he will be missed.
"Life wasn't always easy for Grayson, and although he took his own life, we know he rests peacefully now."
Grayson was a raw talent after taking up golf at age 8.
He won his age division three straight years at the prestigious Junior World Championship in San Diego, but he struggled to fit in at college, going to Wake Forest, East Carolina and then Arizona State.
His first coach was Ted Kiegel in North Carolina, who like so many others was devastated.
"Words cannot express the tragedy of this moment," Kiegel said in a statement sent to The .
"Grayson came from something that was ordinary and made it EXTRAORDINARY … He burned bright for the 30 years he gave us."
Murray won as a 22-year-old rookie at the Barbasol Championship in Kentucky, and frustration began to set in as he didn't improve as quickly as others whom he routinely beat as amateurs.
He was always open depression and anxiety, and his bouts with alcohol. One of his darker moments was at the Sony Open in 2021 when he was suspended for an incident in a Hawaii bar.
Murray took to social media to say, "Why was I drunk? Because I'm a [expletive] alcoholic that hates everything to do with the PGA Tour life and that's my scapegoat."
He also accused the tour of not giving him proper help, which the tour denied.
Monahan said on Saturday at Colonial that he called Murray right after that posting and subsequently spent a lot of time with him.
"I think one of the elements of his legacy is his resiliency," Monahan said.
"So you think of going back to 2017, winning the Barbasol Championship, going back and forth between the Korn Ferry Tour and the PGA Tour … self-assessing, coming back, becoming in his own eyes a stronger human being, and then winning three times in the past year.
"To me, that's a level of resiliency that is extraordinary."
When he won on the Korn Ferry Tour last year, Murray talked his parents having "been through hell and back basically for the last six years for me fighting some mental stuff".
"Everyone has their battles," Murray said a year ago.
"Sometimes are able to hide them and function, and sometimes you're not. I think our society now is getting better accepting that it's OK to not be OK. I've embraced that mentality. I'm not ashamed that I go through depression and anxiety."
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He also used social media to reach out to others dealing with similar issues in a sport where losing takes place far more than winning.
Murray said in January after he won the Sony Open that he often felt like a failure who had wasted his talent.
"It was a bad place, but like I said, you have to have courage," he said.
"You have to have the willingness to keep going. Lo and behold, that's what I did, and I'm here, and I'm so blessed and I'm thankful."
He saw that Sony Open victory — which got him into the Masters for the first time — as the start of a new chapter.
He said he had become a Christian and was engaged to Christiana Ritchie. He said in January the wedding had been planned for late April.
"My story is not finished. I think it's just beginning," Murray said in Hawaii.
"I hope I can inspire a lot of going forward that have their own issues."
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