The actor had just started filming as Ser Denys Mallister on the HBO series, when he collapsed and died on Friday August 9, reported Deadline.
"We will not be recasting J J Murphy. He was a lovely man, and the best Denys Mallister we could have hoped for. And now his watch is ended," the Thrones executive producers said in a statement.
Murphy was said to be the right choice for the role of calm, kind and courteous Mallister, considering his theatre background.