Her Majesty's Revenue and Customs (HMRC), responsible for the collection of taxes in the UK, reportedly visited the Murray house on Tuesday morning to carry out a search warrant and were seen removing computers along with business and personal records.
The English newspaper further claims that both Murray and his wife were then arrested and later released while investigations continue.
Speaking to 'The Telegraph', a HMRC spokesman said: "A husband and wife have been arrested as part of a HMRC investigation into a suspected £1.1m tax fraud".
"HMRC officers arrested the man and woman at a residential property in Brighton yesterday morning (23rd January 2018). The man was arrested on suspicion of evading Income Tax and VAT (Value-added Tax), and cheating the public revenue. The woman was arrested on suspicion of evading Income Tax, and cheating the public revenue."
The spokesman concluded: "The property was searched by HMRC investigators. Computers, business and personal records were seized during the operation. The couple were interviewed by HMRC and have been released under investigation. Investigations are ongoing".
Murray is Brighton's top-scorer, with seven goals from 23 appearances, as the 'Seagulls' fight to stay out of the relegation zone in a closely-contested bottom half of the Premier League table.