Community members choked back tears at the gathering, at Eureka Stockade Gardens in Ballarat late on Friday, holding a minute's silence to honour the 51-year-old.
Many laid floral tributes and wrote condolences, acknowledging the profound effect her disappearance has had on the tight-knit community in western Victoria.
"We ask, why did this happen to Samantha Murphy?" Ballarat Mayor Des Hudson told the crowd.
No trace of Ms Murphy has been found five weeks on from her disappearance and Mr Hudson said he hoped her body would soon be found so mourners could pay their respects at a funeral.
Ms Murphy was last seen leaving her home to go for a run on the morning of February 4.
Police alleged she was murdered by 22-year-old Patrick Orren Stephenson, a tradie they arrested on the outskirts of Ballarat.
Stephenson is the son of former AFL player Orren Stephenson, who played 15 games for Geelong and Richmond between 2012 and 2014.
Mr Hudson urged locals to let the investigation take its course, reminding the crowd the accused and his family were also members of the Ballarat community.
"We need to be mindful that there are two families that are involved," Mr Husdon said.
The vigil for Ms Murphy was held just hours after Stephenson's identity was made public.
His lawyer David Tamanika had applied to temporarily suppress his name from media reporting when he faced Ballarat Magistrates Court on Thursday but that was lifted on Friday.
Mr Tamanika withdrew the application to keep his client's details secret on advice from Stephenson.
The lawyer said he applied to temporarily conceal Stephenson's name because he needed time to gather evidence to argue why his client's details should be suppressed.
"It is concerning that the application or granting of such orders can be, or is immediately seen, as being some form of underhanded move or manipulation tactic by an accused person," Mr Tamanika said.
On Thursday, Police Commissioner Shane Mr Patton said detectives were doing everything they could to find Ms Murphy's body as it was "absolutely vital" for the family.
Stephenson will return to court for a committal mention on August 8.
