Murray is on the comeback trail after being out of action with a torn patella tendon in his knee.
The goalkeeper has had almost two seasons out but is now back in training and McCarthy has given Murray a vote of confidence.
The Wolves boss told the Birmingham Mail: "Matt is doing his level best to get back. I don't think he's anywhere near a game yet, but he's joining in with training.
"We're taking shots at him and he's taking crosses and shots, so he's making real progress."
McCarthy added: "It gives everyone a lift when people start coming back from injury, especially those of good quality."
And McCarthy says he will play Murray in the reserves first rather than loan him out to get first-team football.
He revealed: "I haven't really considered what to do or given it a great deal of thought yet. But if he was fit to be playing and be around the squad, I'd have him to play in the reserves.
"I would probably treat him with kid gloves first and foremost, play him in two or three games and allow Carl Ikeme to go out on loan."