The 65-year-old actor was honoured with the outstanding supporting actor in a limited series or movie prize for his work on "Olive Kitteridge".
He was, however, unable to pick up the award at Los Angeles' Microsoft Theater because he was in Philadelphia celebrating his son Luke and partner Kara Cassidy's nuptials.
Murray's "Charlie's Angels" co-star Kelly Lynch tweeted a picture of him and wrote, "Another reason I love #BillMurray - he wins an #Emmy but is at his son's wedding #priorities (sic)"
Singer Felicia Graham posted a picture on Instagram of the actor with the musicians.
"BEST GIG EVER!! Bill Murray jumped on stage & rocked out with us... SOO MUCH FUN!!! Shout out to Chevy Chevis Entertainment for SETTING THE TONE & RIPPING THE STAGE! I couldn't be more proud of my girl Chevy what an AMAZING NIGHT!! @chevychevis #bestgigever #chevychevisentertainment #billmurray #rockedout #greatnight (sic)" she wrote.
As well as Luke, Murray also has another son, Hunter, with first wife Margaret Kelly, plus another four sons with his second ex-wife, Jennifer Butler.