Murphy was McCrory's on-screen nephew, playing Tommy Shelby to her Aunt Polly in the popular series.
In a statement to the PA news agency, Murphy said: "I am broken-hearted to lose such a dear friend.
"Helen was a beautiful, caring, funny, compassionate human being.
"She was also a gifted actor - fearless and magnificent. She elevated and made humane every scene, every character she played.
"It was a privilege to have worked with this brilliant woman, to have shared so many laughs over the years.
"I will dearly miss my pal. My love and thoughts are with Damian and her family."
McCrory's husband, actor Damien Lewis, broke the news of her death yesterday.
In an emotional statement on Twitter, he said: "I'm heartbroken to announce that after an heroic battle with cancer, the beautiful and mighty woman that is Helen McCrory has died peacefully at home surrounded by a wave of love from friends and family.
"She died as she lived. Fearlessly.
"God we love her and know how lucky we are to have had her in our lives.
"She blazed so brightly.
"Go now, Little One, into the air, and thank you."
The official Peaky Blinders Twitter account shared its own tribute after the news broke, posting a picture of McCrory as Polly Gray and writing: "All our love and thoughts are with Helen's family.
"Rest in peace."
Helen McCrory as Polly Gray- Peaky Blinders (@ThePeakyBlinder) April 16, 2021
All our love and thoughts are with Helen's family.
Rest in peace. pic.twitter.com/HBEg4Hz2Up
Sam Neill, who also starred alongside McCrory in the crime drama, tweeted: "Goodbye. Devastated my friend #HelenMcCrory died today. That brilliant woman - the greatest of actors.
"I so loved our time on #PeakyBlinders. She was witty, kind, skilled. Riotously funny.. and so damn cool. So young. Heartbroken for Damien + her family."
McCrory was also known for starring in huge film franchises such as Harry Potter as Narcissa Malfoy, the James Bond films, and in Doctor Who.
The official website of the BBC sci-fi series said: "We are sad to report the death of actress Helen McCrory, who starred in 'The Vampires of Venice'."
Featured Image Credit: BBC