The 63-year-old actor greeted fans at the main gate of St Paul's Midway Stadium, tearing their tickets and taking pictures with them, reported Ace Showbiz.
Murray then made his way to the field to catch the first pitch from St Paul mayor Chris Coleman. St Paul Saints posted on Twitter a video of the actor catching the first pitch before throwing the ball into the stands.
They captioned the video with, "Mayor Chris Coleman threw out a ceremonial first pitch to a very special guest last night...Bill Murray!"
Murray can be seen in upcoming movie 'St Vincent'. He stars along with Melissa McCarthy, Chris O'Dowd and Naomi Watts. The comedy-drama movie is scheduled to hit theatres in the US on October 24.