Though Murray is largely unknown to television viewers, the pounds 3m fee shows Sky's determination to attract cutting- edge comedians.
Sky negotiated the deal with Avalon, Murray's agent, the company that sought pounds 20m from the BBC for a five-year Frank Skinner deal. Insiders say the BBC had also been talking to Murray for some months.
Murray, 30, has only made a few TV appearances with guest spots on Harry Hill's Channel 4 show. But winning last month's Perrier Award in Edinburgh has made him a desirable property.
Sky will now show a new 13-part sitcom called Time Gentlemen Please, co-written by and starring Murray, and based on his pub landlord character whose bar-room philosophising forms a key part of his stand-up act.
Avalon was also involved in another big money contract last week when a pounds 5.5m deal was signed with Sky for a David Baddiel sitcom.