Actor (141 credits)
- Be the Ball (2018) играет самого себя
- Isle of Dogs (2018) Boss, voice acting
- 22nd Annual Screen Actors Guild Awards (2016) играет самого себя - номинант (credit only)
- The Jungle Book (2016) Baloo, voice acting
- Ghostbusters (2016)
- Vice Principals (2016) Principal Welles
- Angie Tribeca (2016) Vic Deakins
- '85: The Greatest Team in Pro Football History (2016)
- Thank You, Del: The Story of the Del Close Marathon (2016) играет самого себя
- 72nd Golden Globe Awards (2015) играет самого себя - номинант
- The 67th Primetime Emmy Awards (2015) играет самого себя - победитель: Outstanding Supporting Actor in a Limited Series or Movie (credit only)
- Aloha (2015) Carson Welch
- National Lampoon: Drunk Stoned Brilliant Dead (2015) играет самого себя / Actor, хроника
- A Very Murray Christmas (2015) Bill Murray
- Rock the Kasbah (2015) Richie Lanz
- An SNL Valentine (2015) Todd, хроника
- Saturday Night Live: 40th Anniversary Special (2015) Nick Ocean
- The Oscars (2014) играет самого себя - Co-Presenter: Best Cinematography
- Olive Kitteridge (2014) Jack Kennison
- Saturday Night Live: Thanksgiving Special (2014) Mr. Loud, хроника
- The Monuments Men (2014) Richard Campbell
- The Grand Budapest Hotel (2014) M. Ivan
- Dumb and Dumber To (2014) Ice Pick
- St. Vincent (2014) Vincent
- Saturday Night Live: Thanksgiving (2013) Mr. Loud, хроника, not listed in credits
- 70th Golden Globe Awards (2013) играет самого себя - номинант
- Alpha House (2013) Senator Vernon Smits
- Moonrise Kingdom (2012) Mr. Bishop
- Hyde Park on Hudson (2012) FDR
- A Glimpse Inside the Mind of Charles Swan III (2012) Saul
- Friends with Benefits (2011) Carl Spackler, хроника, not listed in credits
- The 2011 Comedy Awards (2011) играет самого себя
- Scream Awards 2010 (2010) играет самого себя
- The Women of SNL (2010) Richard Dawson / Various, хроника
- Behind Jim Jarmusch (2010) играет самого себя
- Passion Play (2010) Happy Shannon
- Ballhawks (2010) рассказчик, voice acting
- Saturday Night Live Sports Extra '09 (2009) Weekend Update Anchor, хроника, not listed in credits
- Saturday Night Live: Just Shorts (2009) Neil Wasserheim, хроника, not listed in credits
- Fantastic Mr. Fox (2009) Badger, voice acting
- Zombieland (2009)
- Get Low (2009) Frank Quinn
- Saturday Night Live Presidential Bash '08 (2008) Walter Cronkite, хроника
- Gonzo: The Life and Work of Dr. Hunter S. Thompson (2008) играет самого себя - Thompson Memorial Attendee, хроника, not listed in credits
- City of Ember (2008) Mayor Cole
- FCU: Fact Checkers Unit (2008) играет самого себя
- Get Smart (2008) Agent 13
- The Limits of Control (2008) The American
- Saturday Night Live in the '90s: Pop Culture Nation (2007) Walter Cronkite, хроника, not listed in credits
- The Darjeeling Limited (2007) The Businessman
- Garfield: A Tail of Two Kitties (2006) Garfield
- Buy the Ticket, Take the Ride: Hunter S. Thompson on Film (2006) играет самого себя
- Saturday Night Live: The Best of Gilda Radner (2005) Various Characters, хроника, not listed in credits
- Broken Flowers (2005) Don Johnston
- Anthony Bourdain: No Reservations (2005) играет самого себя
- Saturday Night Live: The Best of Dan Aykroyd (2005) Various Characters, хроника, not listed in credits
- Saturday Night Live: The Best of John Belushi (2005) играет самого себя / Various, хроника, not listed in credits
- The Lost City (2005) The Writer
- Matthew Gray Gubler's Life Aquatic Intern Journal (2005) играет самого себя
- The 61st Annual Golden Globe Awards (2004) играет самого себя - победитель: Best Actor in a Motion Picture Musical or Comedy
- The 76th Annual Academy Awards (2004) играет самого себя - презентатор: «Lost in Translation» Film Clip
- The Rutles 2: Can't Buy Me Lunch (2004) Bill Murray The K, хроника
- The Life Aquatic with Steve Zissou (2004) Steve Zissou
- Garfield (2004) Garfield
- This Old Cub (2004) играет самого себя
- Lost on Location: Behind the Scenes of «Lost in Translation» (2004) играет самого себя
- The 2004 IFP/West Independent Spirit Awards (2004) играет самого себя
- American Chopper: The Series (2003) играет самого себя
- Coffee and Cigarettes (2003) Bill Murray (segment 'Delirium')
- Lost in Translation (2003) Bob Harris
- Reel Comedy (2002) играет самого себя
- Silenci? (2002) Don Johnston, хроника
- Osmosis Jones (2001) Frank Detorre
- Speaking of Sex (2001) Ezri Stovall
- The Royal Tenenbaums (2001) Raleigh St. Clair
- Charlie's Angels (2000) John Bosley
- Saturday Night Live: Game Show Parodies (2000) Richard Dawson, хроника, not listed in credits
- 2000 Blockbuster Entertainment Awards (2000) играет самого себя
- Hamlet (2000)
- Michael Jordan to the Max (2000) играет самого себя
- Scout's Honor (1999) Jack Vardell
- Cradle Will Rock (1999) Tommy Crickshaw
- Saturday Night Live Christmas (1999) играет самого себя / Host, хроника
- Ghostbusters 1999 (1999) Dr. Peter Venkman
- Rushmore (1998) Herman Blume
- Saturday Night Live: The Best of Steve Martin (1998) Various Characters, хроника, not listed in credits
- With Friends Like These... (1998) Maurice Melnick
- Wild Things (1998) Ken Bowden
- The Man Who Knew Too Little (1997) Wallace Ritchie
- El Magacine (1996) играет самого себя
- Space Jam (1996) Bill Murray
- Larger Than Life (1996) Jack Corcoran
- Kingpin (1996) Ernie McCracken
- Saturday Night Live Presents President Bill Clinton's All-Time Favorites (1994) Various
- Ed Wood (1994)
- Mad Dog and Glory (1993) Frank Milo
- Late Show with David Letterman (1993)
- Groundhog Day (1993) Phil, $ 10 000 000
- Getaway (1992) играет самого себя - Celebrity traveller
- Saturday Night Live: Presidential Bash (1992) Matt, хроника, not listed in credits
- What About Bob? (1991) Bob Wiley, $ 8 000 000
- Saturday Night Live Goes Commercial (1991) Various Characters, хроника, not listed in credits
- Quick Change (1990) Grimm
- The Best of Gilda Radner (1989) играет самого себя / Various
- Saturday Night Live: 15th Anniversary (1989) играет самого себя, хроника
- Ghostbusters II (1989) Dr. Peter Venkman
- She's Having a Baby (1988) Bill Murray, not listed in credits
- Scrooged (1988) Frank Cross
- Later with Bob Costas (1988) играет самого себя
- Annie Lennox & Al Green: Put a Little Love in Your Heart (1988) Frank Cross
- The Best of Chevy Chase (1987) играет самого себя, хроника
- Little Shop of Horrors (1986) Arthur Denton
- The Best of Dan Aykroyd (1986) играет самого себя / Various Characters, хроника
- The Best of John Belushi (1985) играет самого себя / Various Characters, хроника
- The Razor's Edge (1984) Larry Darrell
- Nothing Lasts Forever (1984) Ted Breughel
- Ghostbusters (1984) Dr. Peter Venkman
- Ray Parker Jr.: Ghostbusters (1984) Dr. Peter Venkman, not listed in credits
- Square Pegs (1982) Mr. McNulty
- The Rodney Dangerfield Show: It's Not Easy Bein' Me (1982) Various
- Late Night with David Letterman (1982) играет самого себя
- Tootsie (1982) Jeff
- Stripes (1981) John
- SCTV Network 90 (1981) Various
- Steve Martin's Best Show Ever (1981) Bytes
- Le chaînon manquant (1980) Dragon, voice acting
- Where the Buffalo Roam (1980) Hunter S. Thompson
- Caddyshack (1980)
- The David Letterman Show (1980) играет самого себя
- Mr. Mike's Mondo Video (1979) Man on the Street
- Meatballs (1979) Tripper
- The Rutles: All You Need Is Cash (1978) Bill Murray the K.
- Loose Shoes (1978) Lefty Schwartz
- Things We Did Last Summer (1978) играет самого себя
- Next Stop, Greenwich Village (1976) Nick Kessel, not listed in credits
- The TVTV Show (1976) Various
- Tarzoon, la honte de la jungle (1975) Reporter, voice acting
- Saturday Night Live (1975) Various
- Pass the Buck: Expo '74 (1974) M.C.
- The Hat Act (1973) The Bookstore Owner
- B.O.O.: Bureau of Otherworldly Operations voice acting
Director (1 credits)
Producer (2 credits)
Writer (3 credits)
