Since late last year, numerous women have come forward to share their stories of alleged sexual harassment and assault from powerful men in Hollywood and politics.
"It's interesting when this kind of movement happens," Murray said. "It creates a kind of compost or fertilizer to make the next stage happen. ... Obviously, things swing back and forth."
Murray, who was interviewed at the AT&T Pebble Beach Pro-Am golf tournament, earned his first Emmy for his work in "Saturday Night Live" and starred in such movies as the '80s "Ghostbusters" films and the 1993 "Groundhog Day."
During his interview, Murray also spoke on his decision to play former White House chief strategist Steve Bannon on "Saturday Night Live."
—The Associated Press contributed to this report.