The PANGEA-Breast trial evaluated a new chemo-immunotherapeutic combination that would synergistically induce long-term clinical benefit in HER2-negative advanced breast cancer patients. Treatment consisted of 21-day cycles of 200 mg of pembrolizumab (day 1) plus gemcitabine (days 1 and 8). The primary objective was the objective response rate (ORR). The tumor infiltrating lymphocytes (TILs) density and PD-L1 expression in tumor, and the myeloid-derived suppressor cells (MDSCs) level in peripheral blood, were analyzed to explore associations with treatment efficacy. Considering a two-stage Simon’s design, the study recruitment was stopped after its first stage as statistical assumptions were not met. A subset of 21 triple-negative breast cancer (TNBC) patients was enrolled. Their median age was 49 years; 15 patients had visceral involvement, and 16 had ≤3 metastatic locations. Treatment discontinuation due to progressive disease (PD) was reported in 16 patients. ORR was 15% (95% CI 3.2–37.9). Four patients were on treatment >6 months before PD. Grade ≥3 treatment-related adverse events were observed in 8 patients, where neutropenia was the most common. No association was found between TILs density, PD-L1 expression or MDSCs levels and treatment efficacy. ORR in TNBC patients also did not meet the assumptions, but 20% were on treatment >6 months.