The standard treatment for women with stage I, II, and III triple-negative breast cancer (TNBC) includes chemotherapy and surgery, with or without radiation therapy. However, because TNBC is usually more aggressive, harder to treat, and more likely to come back, it is associated with poor long-term outcomes (survival rates) when compared to other types of breast cancer. Therefore, researchers are studying how new drugs and treatment combinations can improve the outcome of patients with TNBC. This study will test effectiveness of immune therapy (Pembrolizumab is an "immunotherapy" that is expected to work with the body's immune system to help fight cancer) in combination with chemotherapy given before surgery.

Key Inclusion Criteria:

• Ability of participant to understand this study, and participant willingness to sign a written informed consent for this trial.

• Histologically confirmed stage I , II or III TNBC (triple-negative breast cancer).

• No previous definitive ipsilateral breast surgery for the current breast cancer.

• No previous chemotherapy, endocrine therapy, or radiation therapy with therapeutic intent for this cancer.

• Eastern Cooperative Oncology Group (ECOG) performance status of 0 or 1

• Adequate organ function

• Adequate cardiac function

• A female participant is eligible to participate if she is not pregnant, not breastfeeding, and at least one of the following conditions applies:

  • Not a woman of childbearing potential (WOCBP)
  • A WOCBP who agrees to follow contraceptive guidelines.

Key Exclusion Criteria:

• Current or anticipated use of other investigational agents while participating in this study.

• Participant has received chemotherapy, radiotherapy, or surgery for the treatment of breast cancer.

• Participant has metastatic disease.

• Participant has inflammatory breast cancer.

• Participants with concomitant or previous malignancies within the last 5 years are excluded from the study.

  • Note: Participants with basal cell carcinoma of the skin, squamous cell carcinoma of the skin, or carcinoma in situ (e.g. ductal carcinoma in situ (DCIS), carcinoma in situ of the cervix) that have undergone potential curative therapy are not excluded.

• History of allergic reactions or hypersensitivity attributed to compounds of similar chemical or biologic composition to agents used in this study.

• Participant has received prior therapy with an anti-programmed death (PD) -1, anti-PD-ligand (L)-1, or anti-PD-L2 agent or with an agent directed to another stimulatory or co-inhibitory thymus lymphocyte (T-cell) receptor.

• Subject has received a live vaccine within 30 days prior to the first dose of study drug.

• Participant is currently participating in or has participated in a study of an investigational agent or has used an investigational device within 4 weeks prior to the first dose of study treatment

• Participant has a diagnosis of immunodeficiency or is receiving chronic systemic steroid therapy or any other form of immunosuppressive therapy within 7 days prior to the first dose of Pembrolizumab.

• Has active autoimmune disease that has required systemic treatment in the past 2 years.

• Has a history of (non-infectious) pneumonitis that required steroids, or has current pneumonitis.

• Has an active infection requiring systemic therapy.

• Has a known history of Human Immunodeficiency Virus (HIV).

• Has a known history of Hepatitis B or known active Hepatitis C virus.

Female subjects