The Belgium international completed a £75m switch to Manchester United from their Premier League rivals Everton in the summer transfer window.
Lukaku opted to move to the Red Devils ahead of a potential return to defending Premier League champions Chelsea.
The 24-year-old scored seven times in seven games in the Premier League, while the Manchester United summer signing netted three goals in two Champions League outings.
Lukaku endured a difficult afternoon at Liverpool last weekend following a goalless draw at Anfield as the ex Chelsea striker missed his team’s best chance to score on Merseyside.
The Belgian striker turned provider in Manchester United’s 2-1 loss at Huddersfield Town after he produced a brilliant cross to find Marcus Rashford.
However, former Liverpool and Spurs midfielder Murphy has been impressed with Lukaku’s brilliant start to the Premier League campaign.
“Lukaku has hit the ground running,” Murphy told BBC Radio 5 Live.
“When he is playing with this confidence, he’s not far off from unplayable.”
Lukaku has netted 10 times in 10 games in all competitions this season to help Manchester United make a good start to the season in the Champions League and the Premier League.
Manchester United are the most successful club in Premier League history after winning the title 13 times under Ferguson’s management.
The Red Devils signed Benfica defender Victor Lindelof, Everton striker Romelu Lukaku and Chelsea midfielder Nemanja Matic in the summer transfer window.
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