The Blues, beaten in their last four games, have the worst home record in the NHL (6-13-3) and began the day in fourth place in the five-team Central Division with a 17-17-6 record.
Their latest home loss came on Thursday when they were beaten by the Vancouver Canucks 4-3 after leading 3-0 in the second period.
Murray compiled a 118-102-38 record after taking over in December 2006. Last season he led the Blues to their first playoff berth in five years.
"He was an integral part in turning the St Louis Blues around," president John Davidson said in a statement on the team's website (http://blues/nhl.com).
"He is a true professional and I wish him the best of luck in the future."
Payne, 39, has been coach of the Peoria Rivermen, the Blues's American Hockey League affiliate, since 2008. His team has a 19-13-1-2 record this season.
"Davis is very knowledgeable of the players in our organization and we feel he is the best candidate to coach our team," said Davidson.
"He has nine winning seasons at minor league level which includes an ECHL Championship in 2006."
(Reporting by Gene Cherry in Salvo, North Carolina)