After a goalless first half, Sam Baldock opened the scoring with a fierce shot into the roof of the net.
Murphy then added a second with a cool finish, before Elvis Manu's strike made the game safe for the Seagulls.
Murphy's steered fourth sent Brighton, who drew with Derby in the Championship on Saturday, into round two.
Match ends, Brighton and Hove Albion 4, Colchester United 0.
Second Half ends, Brighton and Hove Albion 4, Colchester United 0.
Attempt saved. Sam Baldock (Brighton and Hove Albion) right footed shot from the centre of the box is saved in the centre of the goal.
Corner,  Colchester United. Conceded by Rob Hunt.
Goal!  Brighton and Hove Albion 4, Colchester United 0. Jamie Murphy (Brighton and Hove Albion) left footed shot from the centre of the box to the bottom right corner.
Foul by Oliver Norwood (Brighton and Hove Albion).
Macauley Bonne (Colchester United) wins a free kick in the defensive half.
Attempt saved. Oliver Norwood (Brighton and Hove Albion) right footed shot from the centre of the box is saved in the centre of the goal.
Attempt saved. Kazenga Lua Lua (Brighton and Hove Albion) right footed shot from the left side of the box is saved in the bottom right corner.
Attempt missed. Louis Dunne (Colchester United) left footed shot from outside the box is close, but misses to the left.
Attempt missed. Kazenga Lua Lua (Brighton and Hove Albion) right footed shot from the centre of the box is close, but misses to the right.
Attempt blocked. Sam Baldock (Brighton and Hove Albion) right footed shot from outside the box is blocked.
Attempt saved. Frankie Kent (Colchester United) header from the centre of the box is saved in the top centre of the goal.
Corner,  Colchester United. Conceded by Sam Adekugbe.
Substitution, Colchester United. Louis Dunne replaces Tom Lapslie.
Substitution, Colchester United. Craig Slater replaces Kurtis Guthrie.
Goal!  Brighton and Hove Albion 3, Colchester United 0. Elvis Manu (Brighton and Hove Albion) right footed shot from the centre of the box to the bottom right corner. Assisted by Sam Baldock.
Substitution, Colchester United. Macauley Bonne replaces Sammie Szmodics.
Goal!  Brighton and Hove Albion 2, Colchester United 0. Jamie Murphy (Brighton and Hove Albion) right footed shot from very close range to the centre of the goal. Assisted by Kazenga Lua Lua.
Goal!  Brighton and Hove Albion 1, Colchester United 0. Sam Baldock (Brighton and Hove Albion) right footed shot from the centre of the box to the top right corner. Assisted by Kazenga Lua Lua.
Attempt blocked. Jamie Murphy (Brighton and Hove Albion) right footed shot from the centre of the box is blocked.
Sam Adekugbe (Brighton and Hove Albion) wins a free kick on the right wing.
Foul by Kurtis Guthrie (Colchester United).
Doug Loft (Colchester United) is shown the yellow card for a bad foul.
Kazenga Lua Lua (Brighton and Hove Albion) wins a free kick in the defensive half.
Foul by Doug Loft (Colchester United).
Attempt missed. Doug Loft (Colchester United) left footed shot from outside the box is high and wide to the left from a direct free kick.
Oliver Norwood (Brighton and Hove Albion) is shown the yellow card for a bad foul.
Foul by Oliver Norwood (Brighton and Hove Albion).
Sammie Szmodics (Colchester United) wins a free kick in the attacking half.
Corner,  Colchester United. Conceded by Jamie Murphy.
Attempt missed. Kazenga Lua Lua (Brighton and Hove Albion) right footed shot from outside the box misses to the right.
Attempt blocked. Sam Baldock (Brighton and Hove Albion) right footed shot from outside the box is blocked.
Foul by Elvis Manu (Brighton and Hove Albion).
Frankie Kent (Colchester United) wins a free kick in the attacking half.
Attempt missed. Sam Baldock (Brighton and Hove Albion) right footed shot from the centre of the box is high and wide to the right.
Corner,  Brighton and Hove Albion. Conceded by Doug Loft.
Attempt blocked. Danny Holla (Brighton and Hove Albion) right footed shot from outside the box is blocked.
Sam Baldock (Brighton and Hove Albion) wins a free kick in the defensive half.
Foul by Kane Vincent-Young (Colchester United).
Jamie Murphy scored twice to help Brighton & Hove Albion beat League Two side Colchester United in the first round of the EFL Cup.