| Ghostbusters: Afterlife (2021) Dr. Peter Venkman |
| Belushi (2020) Self (archive footage) |
| On the Rocks (2020) Felix |
| Picture Show: A Tribute Celebrating John Prine (2020) Self |
| Cleanin' Up the Town: Remembering Ghostbusters (2020) Himself (Archive) |
| Le fantastique Mr Murray (2019) Himself |
| Zombieland: Double Tap (2019) Bill Murray |
| Loopers: The Caddie's Long Walk (2019) Narrator |
| The Dead Don't Die (2019) Chief Cliff Robertson |
| For The Fun Of The Game (2018) Himself |
| Studio 54 (2018) Self (archive footage) |
| The Bill Murray Stories: Life Lessons Learned from a Mythical Man (2018) Himself |
| Love, Gilda (2018) Himself (archive footage) |
| Isle of Dogs (2018) Boss (voice) |
| The Bill Murray Experience (2017) Himself |
| '85: The Greatest Team in Pro Football History (2016) Himself |
| Ghostbusters (2016) Martin Heiss |
| The Jungle Book (2016) Baloo (voice) |
| A Very Murray Christmas (2015) Himself |
| Rock the Kasbah (2015) Richie Lanz |
| Thank You, Del: The Story of the Del Close Marathon (2015) Himself |
| Aloha (2015) Carson Welch |
| "That's Awesome!": The Story of 'Dumb and Dumber To' (2015) Self |
| Saturday Night Live: 40th Anniversary Special (2015) Self |
| Drunk Stoned Brilliant Dead: The Story of the National Lampoon (2015) Himself / Actor |
| Dumb and Dumber To (2014) Ice Pick |
| St. Vincent (2014) Vincent MacKenna |
| The Grand Budapest Hotel (2014) Monsieur Ivan |
| The Monuments Men (2014) Sgt. Richard Campbell |
| A Glimpse Inside the Mind of Charles Swan III (2013) Saul |
| Hyde Park on Hudson (2012) Franklin D. Roosevelt |
| Moonrise Kingdom: Welcome to the Island of New Penzance (2012) Himself |
| Moonrise Kingdom (2012) Mr. Bishop |
| Passion Play (2011) Happy Shannon |
| The Women of SNL (2010) Richard Dawson / Various (archive footage) |
| Get Low (2010) Frank Quinn |
| Fantastic Mr. Fox (2009) Clive Badger (voice) |
| Zombieland (2009) Bill Murray |
| The Limits of Control (2009) American |
| City of Ember (2008) Mayor Cole |
| Get Smart (2008) Agent 13 |
| A Better Man: The Making of Tootsie (2008) Interviewee |
| FCU: Fact Checkers Unit (2007) Bill Murray |
| The Darjeeling Limited (2007) The Businessman |
| Buy the Ticket, Take the Ride (2006) |
| Garfield: A Tail of Two Kitties (2006) Garfield (voice) |
| Saturday Night Live: The Best of Dan Aykroyd (2005) Various Characters |
| The Lost City (2005) spisovateľ |
| Broken Flowers (2005) Don Johnston |
| This Is an Adventure (2005) Himself |
| Matthew Gray Gubler's Life Aquatic Intern Journal (2005) Himself |
| Live from New York: The First 5 Years of Saturday Night Live (2005) |
| On the Set: The Life Aquatic with Steve Zissou (2005) Himself |
| La ciudad perdida (2005) |
| The Life Aquatic with Steve Zissou (2004) Steve Zissou |
| This Old Cub (2004) Himself |
| Garfield (2004) Garfield (voice) |
| Lost on Location (2004) Himself |
| Lost in Translation (2003) Bob Harris |
| Coffee and Cigarettes (2003) Bill Murray |
| The Rutles 2: Can't Buy Me Lunch (2002) |
| Speaking of Sex (2001) Ezri Stovall |
| The Royal Tenenbaums (2001) Raleigh St. Clair |
| Osmosis Jones (2001) Frank Detorre |
| Charlie's Angels (2000) John Bosley |
| Hamlet (2000) Polonius |
| Michael Jordan to the Max (2000) Himself |
| The Making of 'Rushmore' (2000) Self |
| Cradle Will Rock (1999) Tommy Crickshaw |
| Saturday Night Live: 25th Anniversary Special (1999) Self |
| Caddyshack: The 19th Hole (1999) Carl Spackler |
| Rushmore (1998) Herman Blume |
| With Friends Like These... (1998) Maurice Melnick |
| Wild Things (1998) Kenneth Bowden |
| The Man Who Knew Too Little (1997) Wallace 'Wally' Ritchie |
| Space Jam (1996) Bill Murray |
| Larger Than Life (1996) Jack Corcoran |
| Kingpin (1996) Ernie McCracken |
| R.E.M.: Rough Cut (1995) Himself |
| Ed Wood (1994) Bunny Breckinridge |
| Mad Dog and Glory (1993) Frank Milo |
| Groundhog Day (1993) Phil Connors |
| What About Bob? (1991) Bob Wiley |
| Quick Change (1990) Grimm |
| Saturday Night Live: 15th Anniversary (1989) Himself (archive footage) |
| Ghostbusters II (1989) Dr. Peter Venkman |
| Scrooged (1988) Francis Xavier Cross |
| She's Having a Baby (1988) Bill Murray (uncredited) |
| Little Shop of Horrors (1986) Arthur Denton |
| Bugs Bunny/Looney Tunes All-Star 50th Anniversary (1986) Himself |
| The Razor's Edge (1984) Larry Darrell |
| Nothing Lasts Forever (1984) Ted Breughel |
| Ghostbusters (1984) Dr. Peter Venkman |
| Tootsie (1982) Jeff Slater |
| The Rodney Dangerfield Show: It's Not Easy Bein' Me (1982) various |
| Steve Martin's Best Show Ever (1981) |
| Stripes (1981) John Winger |
| Cut Flowers (1981) |
| Loose Shoes (1980) Lefty |
| Caddyshack (1980) Carl Spackler |
| Le chaînon manquant (1980) Dragon (voice) |
| Where the Buffalo Roam (1980) Dr. Hunter S. Thompson |
| Mr. Mike's Mondo Video (1979) Man on the Street |
| Meatballs (1979) Triipper Harrison |
| Fear and Loathing on the Road to Hollywood (1978) Self / Nixon Voter (uncredited) |
| The Things We Did Last Summer (1978) Himself |
| The Dogs (1978) |
| The Rutles: All You Need Is Cash (1978) Bill Murray the K. |
| Next Stop, Greenwich Village (1976) Nick Kessel (uncredited) |
| La honte de la jungle (1975) Reporter (voice)(English Dub) |
| The King of Counterfeit |
| Bum's Rush Bum |
| The Greatest Beer Run Ever |
| The French Dispatch Arthur Howitzer Jr. |