In vitro studies have suggested proteasome inhibitors could be effective in triple-negative breast cancer (TNBC). We found that bortezomib and carfilzomib induce proteotoxic stress and apoptosis via the unfolded protein response (UPR) in TNBC cell lines, with sensitivity correlated with expression of immuno-(PSMB8/9/10) but not constitutive-(PSMB5/6/7) proteasome subunits. Equally, the transcriptomes of i-proteasome–high human TNBCs are enriched with UPR gene sets, and the genomic copy number landscape reflects positive selection pressure favoring i-proteasome activity, but in the setting of adjuvant treatment, this is actually associated with favorable prognosis. Tumor expression of PSMB8 protein (β5i) is associated with levels of MHC-I, interferon-γ–inducible proteasome activator PA28β, and the densities of stromal antigen-presenting cells and lymphocytes (TILs). Crucially, TILs were protective among TNBCs that maintain high β5i but did not stratify survival amongst β5i-low TNBCs. Moreover, β5i expression was lower in brain metastases than in patient-matched primary breast tumors (n = 34; P = 0.007), suggesting that suppression contributes to immune evasion and metastatic progression. Hence, inhibiting proteasome activity could be counterproductive in the adjuvant treatment setting because it potentiates anti-TNBC immunity.