"I'll definitely do a marathon at some stage, but not while I'm still playing," he said at Cincinnati. "That's an amazing effort she's doing that while playing, because it takes a lot of training, a lot of hard work."
Wozniacki has announced that she has entered herself in the New York City Marathon in November. "I'm working out a lot and I'm running long runs as well," she said.
Wozniacki, whose wedding to Rory McIlroy was scheduled for November before the golfer ended their engagement, said she was looking for a challenge. "People ask me, why don't you do 5 or 10k," she said. "I'm like, well, I do that every day in practice.
''But going and having to run 42 kilometers, that's mental and it's something I really have to both physically but also mentally prepare myself really hard for."
Murray said he expected the 23-year-old to have a good performance.
"I'm assuming she will want to get a good time as well," he said. "She's pretty competitive. She'll have to train hard."
Murray's coach, Amelie Mauresmo, also ran the New York City Marathon as a retired player.