The Bulldogs (4-3) converted on 18 of 23 free throw opportunities, a season-high of 78 percent. The Racers made good on three of their four free throw attempts.
Rhodes led all scorers with 22 points, while Gordon had 15 points and four assists. Barry Stewart went 2-for-3 from three-point range and had 14 points.
Mississippi State carried a 39-24 lead into the locker room at the half, shooting 15-for-26 from the field in the opening period.
The Racers pulled to within 10 early in the second half, but a dunk by Rhodes and a 3-pointer by Ben Hansbrough extended the Bulldogs' lead for good.
The Bulldogs out-rebounded Murray State 36-29.