The Black and Golds were on the wrong end of a nine goal thriller against Dumbarton on Saturday in the Scottish Cup. They lost 5-4 after extra time at Galabank.
Murphy said: “We’ve been involved in cup games like that before at Clydebank. That year it went for us; this year it didn’t.”
And a fine league performance at home on Tuesday night against Hamilton ultimately ended in a 2-1 defeat.
The manager also defended Wullie Gibson after Hamilton boss John Rankin claimed the veteran ‘knew what he was doing’ in the lead up to Lee Kilday’s second yellow card which saw the visitors reduced to ten.
He said: “I think John Rankin would do the same in that position.
“His player put his head towards Wullie Gibson.”
Annan return to league action tomorrow against Alloa at the Indodrill Stadium.
Murphy said: “I think for our players it’s maybe just that little bit of belief that they can do it at this level.
“Once we get one, two or maybe three wins I think you would see a totally different team breeding confidence.
“We’ve just got to stick together and get through it.”
Injuries, illness and suspensions have certainly not helped, with the squad ravaged in recent weeks.
Murphy said: “It’s a little bit tough. Dom Docherty was struggling from Saturday then he goes on against Hamilton and takes a couple of bad knocks again.
“Young Kai Nugent took a bad knock on his knee and was hobbling around at the end.
“We have Josh Dixon who has just come back from injury, but we still have to monitor his knee because it keeps swelling after games.
“Steven Swinglehurst is on his way back but he’ll be out until January.
“We’ve lost Scott Hooper who looks like he might be out for a while, he’s seeing a specialist this week.
“Tam Muir was struggling a little bit, that was the reason why I got registered, but he managed to get through the game.
“Matty Douglas has played nearly every minute of every game and is a bit stiff, but he’s a warrior and getting through.
“We had Aidan Smith out suspended tonight and Tommy Goss was just coming back in after being ill.
“We also lost Sam Campbell on Saturday, it looks like he’ll be out for four to six weeks which will probably take him up to the end of his loan.
“It can only go on for so long. You would hope it will change and when it does change we will be in a much better position.”