Murphy struck twice at Wembley as Oxford won 2-0. It marks a return to the Championship after a 25 year absence.
The former Newcastle midfielder said: "I don't think anyone expected this. I'm lost for words.
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"We were underdogs coming in today and we played amazing.
"This group is special. We knew after that (5-0 defeat in March), it was either sink or swim.
"We played out of our skin.
"My brother (Newcastle's Jacob Murphy) keeps saying to me 'it's your time to shine' and I think I've done that today."