The 48-year-old cycling champion - who has two young children with wife Sarra - revealed earlier this year that he was being treated for incurable prostate cancer and now his tennis ace pal has opened up about the shocking moment he learned of Hoy's health crisis.
Speaking to BBC Breakfast presenter Sally Nugent for documentary Sir Chris Hoy: Cancer, Courage and Me, Murray explained: "After I retired at the Olympics last year, the following day I went to the GB house and he [Hoy] interviewed me.
"I messaged him afterwards. I didn't want to ask because there was lots of people around, like: 'How are you doing? You seem really good'.
"He was like: 'Well no, it's been a really tough year, but I'm doing this charity bike ride about changing perceptions around stage four cancer'.
"I said to my wife, I was like: 'I think he has stage four cancer based on the message'. But I didn't want to ask. It was literally, maybe the next day, two days later, that he announced it publicly for the first time."
Murrah then took a break to wipe away tears before adding: "I was really upset by it. It's obviously cruel because he's a young guy, he has a young family.
"He's obviously dedicated pretty much his whole life to being healthy, fit and active.
"For the next few days, every moment where I had a break, I was thinking about him and his situation a lot.
"He's an all-round great person. Any time I've spent time with him, he's always been incredibly humble. He's been incredibly open and honest in his interviews."
Fellow cycling star Dame Laura Kenny also became emotional as she recalled hearing the news of Hoy's diagnosis. She said: "You're just shocked aren't you, because Chris is a superhero in my mind ... My heart broke."
Both Murray and Kenny feature in Hoy's documentary which is due to air on December 18 at 9pm on BBC One and iPlayer.
Hoy - who is dad to Callum, 10, and eight-year-old Chloe - announced in October that he has "two to four" years to live but had found solace in the fact that he had been "given enough time" to say his goodbyes.
He told The Sunday Times: "When you realise, God, this has been going on since the beginning of time. As unnatural as it feels, this is nature.
"You know, we were all born and we all die, and this is just part of the process. [Sometimes there is] no chance to say goodbyes or make peace with everything. But I’ve been given enough time."
