The Scot defeated Feliciano Lopez on Saturday to reach the fourth round of the United States Open.
Murray made the revelation while taking questions from readers of the New York Times, who sent their inquiries from all over the world.
One reader asked Murray when was the last time he cried.
“Probably a few days after the Olympics. Probably.
“I went to Toronto a couple of days afterward. I’d been around people pretty much all the time since the final, and then when you’re on your own for a little while, and you have a chance to think about what’s happened,” he said.
“It wasn’t just the Olympics, but what happened a few weeks beforehand as well. It was quite emotional.”
Murray famously won over a whole new army of fans after bursting into tears following his Wimbledon defeat to Roger Federer.