This is a single-arm open-label multi-cohort Phase II study evaluating the safety/tolerability and clinical activity of the combination of nab-paclitaxel and the antibody against programmed cell death 1 (PD-1), pembrolizumab, in patients with human epidermal growth factor receptor (HER-2) negative metastatic breast cancer (n=50). There will be two cohorts of patients consisting of a triple negative breast cancer (TNBC) cohort with 30 subjects and a hormone receptor (HR)-positive cohort with 20 subjects. There will be an initial safety run-in with 12 subjects from the TNBC and HR-positive cohort (~ 6 patients from each cohort). If no unexpected toxicity is observed (as defined in the study protocol), then enrollment will continue to complete both cohorts (30 total TNBC, 20 total in HR positive cohort). The subjects from the run in safety part will be included in the Phase II analysis. Tumor expression of programmed cell death ligand 1 (PD-L1) is not required for enrollment in the study, but will be assessed as possible predictive marker.