The former Skins star will play Gilly, a young woman desperate to escape the oppression of wildling man Craster, according to TV Guide.
Murray is best known for playing Cassie on E4's Skins from 2007 to 2008, and has since appeared in episodes of ITV's Marple and Above Suspicion.
Her film credits include 2010's Chatroom and a role opposite Doctor Who star Matt Smith in sci-fi drama Womb.
Roy Dotrice, Gemma Whelan, Tom Wlaschiha, Carice van Houten, Stephen Dillane and Natalie Dormer are among the other actors to have signed up for the new season of Game of Thrones.
The show's creator George RR Martin recently dismissed accusations that the fantasy drama is "misogynistic or racist".
Game of Thrones is expected to return to HBO in the spring.
> Game of Thrones Kit Harington hints at Jon Snow fate
Watch the Comic-Con trailer for Game of Thrones below: