• 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 guidance

• WOCBP must agree to use acceptable birth control methods for the duration of the study and until persistence of the study drug is no longer detected in the peripheral blood:this may be a period of several years. Methods for acceptable birth control include: condoms, diaphragm or cervical cap with spermicide, intrauterine device, and hormonal contraception; it is recommended that a combination of two methods be used. NOTE: If the risk of conception exists, patients must agree to use highly effective contraception throughout the study and for at least two years following the last study treatment administration

• Negative serum and highly sensitive urine pregnancy test(s):

• i) within 72 hours prior to study allocation; ii) following initiation of treatment, pregnancy testing will be performed for WOCBP and interpreted prior to every cycle of pembrolizumab (Initial Treatment Phase); iii) at the End of Treatment (EOT) Assessment; and iv) whenever pregnancy is otherwise suspected. Note: In the event that 72 hours have elapsed between the screening pregnancy test and the first dose of study treatment, another pregnancy test must be performed and must be negative in order for subject to start receiving study medication.

• Histologically or cytologically confirmed diagnosis of triple negative breast cancer (TNBC) (estrogen receptor \[ER\] =\< 1%, progesterone receptor \[PR\] =\< 1% HER2 negative)

‣ HER2 testing should be performed on the invasive component using a validated immunohistochemistry (IHC) or in situ hybridization (ISH) assay

⁃ IHC staining is defined as:

• IHC 3+ if there is complete and intense circumferential membrane staining within \> 10 percent of tumor cells. All IHC 3+ tumors are considered HER2 positive

∙ IHC 2+ if there is incomplete and/or weak/moderate, circumferential membrane staining within \> 10 percent of tumor cells. All IHC 2+ tumors are reported as HER2 equivocal

∙ IHC 1+ if there is faint or barely perceptible, incomplete membrane staining within \> 10 percent of tumor cells. All IHC 1+ tumors are reported as HER2 negative

∙ IHC 0 if (1) no staining is observed, or (2) there is faint or barely perceptible, incomplete membrane staining within \< 10 percent of tumor cells. All IHC 0 tumors are reported as HER2 negative

∙ Equivocal HER2 testing should trigger reflex HER2 testing using ISH on the same specimen or a new test (using a different specimen with either IHC or ISH)

⁃ Results from ISH are defined as the ratio of gene amplification of HER2 and the chromosome 17 enumeration probe (CEP17). Results are reported as:

• ISH positive if the HER2/CEP17 ratio is \>= 2.0, and the HER2 copy number signals/cell is \>= 4

∙ Definitive diagnosis will be rendered pending further workup in the following instances:

‣ If the HER2/CEP17 ratio is \>= 2.0 and an average HER2 copy number is \< 4.0 signals/cell - negative if confirmed on retesting

⁃ If the HER2/CEP17 ratio is \< 2.0 and the average HER2 copy number is \>= 6.0 signals/cell positive - if confirmed on retesting

⁃ If the HER2/CEP17 ratio is \< 2.0 and an average HER2 copy number is between \>= 4.0 and \< 6.0 signals/cell negative - if confirmed on retesting

∙ ISH negative if the HER2/CEP17 ratio is \< 2.0 and average HER2 copy number is \< 4.0 signals/cell

• Measurable brain disease as per RANO-BM criteria modified to include the cut off point of 0.5 cm or higher. Have at least one untreated brain metastasis approved by a research team that meets the following size requirements:

‣ \>= 0.5 cm AND twice the magnetic resonance imaging (MRI) slice thickness; and

⁃ \< 3.0 cm, that is asymptomatic and does not require local therapy at the time of enrollment (i.e. target lesion\[s\])

⁃ Of note, lesions \>= 0.5 cm and \< 3 cm may be determined ineligible by the research team because of location or symptoms. An untreated brain metastasis is defined as a lesion not present at the time of whole brain radiation therapy or not included in a stereotactic radiotherapy field (or within 0.5 cm of a treated lesion), or any lesion that is new or unequivocally progressing since prior radiation therapy or prior surgery.

• Any brain metastasis \>= 3.0 cm or causing symptoms must have previously been treated with local therapy (i.e. radiation or surgical resection, as clinically appropriate) prior to study enrollment. Any lesion present at the time of whole brain radiation therapy (WBRT) or included in the stereotactic radiotherapy field (or within 5 mm of the treated lesion) will NOT be considered evaluable unless it is new or documented to have progressed since treatment

• Stereotactic radiosurgery (SRS) and/or prior radiotherapy is permitted \>=2 weeks prior to initial Dendritic Cell (DC) vaccine dose (leaving one or more lesions which are not radiated and will be used as target lesions) but a follow up brain MRI should be obtained prior to dendritic cell (DC) vaccine to determine stability of the lesions. An interval of at least 4 weeks after the end of whole brain radiation or for any surgical resection of brain lesions is permitted ; an interval of at least 4 weeks or 5 half-lives (whichever is sorter) after the last cytotoxic, targeted, immunotherapeutic or investigational agent is permitted (prior to the start of DC vaccine)

‣ Previous whole brain radiation is allowed if patient has been diagnosed with recurrent, progressive brain metastasis. Previously irradiated lesions would be considered non-target lesions

⁃ Previously resected lesions or those treated with SRS would be considered nontarget lesions. There is no limitation on prior local therapies to other lesions.

• If subject received major surgery, they must have recovered adequately from the toxicity and/or complications from the intervention prior to starting therapy

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

• Toxicity that has not recovered to \<=Grade 1 is allowed if it meets the inclusion requirments for lab parameters (Participants with \<= Grade 2 neuropathy may be eligible)

• Patients must have adequate organ and marrow function as defined below (specimens must be collected within 10 days prior to the start of study treatment):

• Hemoglobin \>= 9 g/dL or \>= 5.6 mmol/L

• Leukocytes: \>= 3 x 10\^9/L

• Absolute neutrophil count: \>= 1.5 x 10\^9/L

• Platelets: \>= 100 x 10\^9/L

• Total bilirubin: =\< 1.5 x upper limit of normal (ULN) OR direct bilirubin =\< ULN for participants with total bilirubin levels \> 1.5 x ULN

• Aspartate aminotransferase (AST) (serum glutamic-oxaloacetic transaminase \[SGOT\])/alanine aminotransferase (ALT) (serum glutamate pyruvate transaminase \[SGPT\]): =\< 2.5 x institutional upper limit of normal (=\< 5 x ULN for participants with liver metastases)

• Creatinine OR Measured or calculated creatinine clearance (Glomerular Filtration Rate (GFR) can also be used in place of creatinine or CrCl): ≤1.5 × ULN OR ≥30 mL/min for participant with creatinine levels \>1.5 × institutional ULN

• International normalized ratio (INR) OR prothrombin time (PT) activated partial thromboplastin time (APTT) =\< 1.5 x ULN unless participant is receiving anticoagulant therapy as long as PT or aPTT is within therapeutic range of intended use of anticoagulants

• No evidence of leptomeningeal disease

• If patient is on steroids, they must be on a steroid dose less than or = to an equivalent prednisone dose of 10 mg daily

• Life expectancy of \> 3 months

• Prior checkpoint inhibitors permitted 3 weeks prior to enrollment

• If the disease has progressed on current treatment in the CNS, prior to consent, patients may continue Her 2 directed antibody treatment (trastuzumab and pertuzumab); aromatase inhibitor or tamoxifen while on the study; patients with triple negative breast cancer may continue capecitabine, eribulin or paclitaxel while on study per PI discretion

• Patients with systemic disease will be managed as detailed in Section 10.1 - Patients who develop systemic disease progression on the protocol will be managed as detailed in Section 10.4.2