Rudolph Valentino was best man at her 1926 marriage to Prince David Mdivani; Pola Negri was matron of honor.
According to legend, Murray invented the practice of dunking donuts in coffee. The story goes that she was having coffee with a friend at Lindy's Restaurant on Broadway when she accidentally dropped her donut in her coffee. When she took a bite out of the donut, she said that the coffee had improved its taste and texture.
Mae fought for custody of his son for two years. When she finally was given custody, she was unable to care for him due to financial and personal problems. In 1940, he was adopted by his foster family and his name was changed to Daniel Michael Cunning.
One son: Koran David Mdivani, born February 1927, by Prince David Mdivani. Mae also has two granddaughters, Pamela and Cynthia.
She was arrested for vagrancy in NYC when she was found sleeping on a park bench.
Spoke often about discovering Rudolph Valentino and giving him a role in her film The Delicious Little Devil (1919).