"My theme tonight is what is it like to be beloved," the iconic comedian said onstage during his speech which also included jokes about missing the event if his beloved Chicago Cubs were forced into a Game 7 instead of advancing to the World Series.
"As much as I dreaded this, I really have to come back to this idea: There's love. There's love," he continued.
Celebrities on hand to honor Murray included Ivan Reitman, Jimmy Kimmel, Emma Stone, Sigourney Weaver, Steve Martin through a video tribute, Miley Cyrus who performed and David Letterman who detailed how the 66-year-old gifted him a handmade Irish christening gown for his son in 2003, among others.
"That Saturday, my son, in Bill Murray's christening gown, was christened at St. Ignatius in Manhattan, and we have this memory, we have this gift, we have this gesture for the rest of our lives," Letterman said.
Cyrus performed "My Way" and when she messed up the lyrics was told by Murray to start the performance over.
"We're safe now. How 'bout those pipes? Do it again! Do it again!" he said standing up.
"This is live entertainment," he continued. "This is happening now in Washington, D.C. — the 51st state! If it had statehood, that wouldn't have happened!"
Murray is the 19th recipient of the Mark Twain prize following others such as Carol Burnett, Bob Newhart, Steve Martin, Ellen DeGeneres, Richard Pryor -- who received the inaugural award in 1998 -- and Eddie Murphy who was honored last year.
The ceremony is set to broadcast on PBS Friday.