The Liverpool midfielder fell awkwardly in the last minute of Wednesday's session.
Murphy was sent for an X-ray, which did not show a fracture, but the England medical staff are planning a bone scan in the next 48 hours to establish the exact nature of the injury.
A statement from the English FA said: "Danny Murphy landed awkwardly on his left foot and felt a sudden, sharp pain.
"It is too early to say how serious Danny's injury is or how long it will be before he is back to full fitness."
Standby Trevor Sinclair is now set to return to Japan to provide cover - he only left the Far East to return to England on Tuesday night.
England's midfield has already been hit hard by injury.
Steven Gerrard was ruled out of the World Cup with a groin problem, while David Beckham, Kieron Dyer and Nicky Butt are all facing a battle to be fit for England's opener against Sweden on 2 June.
Defender Ashley Cole has also given Sven-Goran Eriksson a slight injury scare after missing training with a tweaked knee ligament.
The Arsenal full-back picked up the injury during Tuesday's 1-1 draw with South Korea.
It appears to be a recurrence of a ligament problem sustained on club duty with Arsenal earlier in the season.
But FA officials were quick to play down the seriousness of the injury.
Head of communications Paul Newman said: "Ashley has tweaked a knee ligament but it is nothing serious.
"He has done a session in the gym and is just resting as a precaution."
"
Dyer underwent a session in the gym and is continuing to make
progress
"
FA spokesman Paul Newman
Tottenham striker Teddy Sheringham was absent from the work-out with a blister on his foot but is expected to resume training on Friday.
And Butt and Dyer (both knee) were also missing, but Newman insisted they were continuing to make satisfactory progress.
He said: "Dyer underwent a session in the gymnasium and is continuing to make progress while Butt did a session at the training ground on Wednesday morning."