Inclusion Criteria:  Has locally recurrent inoperable or metastatic HR+/HER2- breast cancer, which has not been previously treated with cytotoxic chemotherapy in the noncurative setting Has progressed on 2 or more lines of endocrine therapy for metastatic HR+/HER2-disease, with at least 1 given in combination with a Cyclin-dependent kinase 4/6 (CDK4/6) inhibitor OR Has progressed on 1 line of endocrine therapy for metastatic HR+/HER2- disease and had a relapse within 24 months of definitive surgery for primary tumor while on adjuvant endocrine therapy. Prior treatment with a CDK4/6 inhibitor (in the metastatic and/or adjuvant setting) is required OR If no prior treatment with a CDK 4/6 inhibitor, participants must have progressed within 6 months of starting 1 line of endocrine therapy for metastatic disease and had a relapse within 24 months of definitive surgery for primary tumor and while on adjuvant endocrine therapy Has presented a documented progression (confirmed by scans per RECIST 1.1 as assessed by the investigator and/or histology [biopsy or cytology] for participants presenting with new metastatic lesions) during or after the last administered endocrine therapy prior to entering the study Is a chemotherapy candidate that meets the criteria specified in the protocol Provides a new or the last obtained core biopsy, preferably consisting of multiple cores, taken from a locally recurrent or a distant (metastatic) lesion not previously irradiated Has centrally confirmed PD-L1 CPS ≥1 and HR+ (estrogen receptor [ER] and/or progesterone receptor [PgR]) /HER2- breast cancer as defined by the most recent American Society of Clinical Oncology (ASCO)/(College of American Pathologists) CAP guidelines on most recent tumor biopsy Has an Eastern Cooperative Oncology Group (ECOG) performance status of 0 or 1, as assessed within 7 days prior to the first dose of study treatment Has adequate organ function within 10 days prior to the start of study Male participants must agree to the following during the treatment period and for at least 6 months after the last dose of chemotherapy: refrain from donating sperm PLUS either be abstinent from heterosexual intercourse as their preferred and usual lifestyle or use contraception and agree to use a male condom plus partner use of an additional contraceptive A female participant is eligible to participate if she is not pregnant or breastfeeding, and at least one of the following conditions applies: is not a woman of childbearing potential (WOCBP) OR is a WOCBP and using a highly-effective contraceptive method during the treatment period and for at least 120 days after the last dose of pembrolizumab and 180 days after the last dose of chemotherapy (whichever occurs last), AND agrees not to donate eggs (ova, oocytes) to others or freeze/store for her own use for the purpose of reproduction during this period A WOCBP must have a negative highly sensitive pregnancy test (urine or serum) within 24 hours for urine or within 72 hours for serum before the first dose of study intervention Has measurable disease per RECIST 1.1 as assessed by the local site investigator/radiologist If receiving bone resorptive therapy, including but not limited to bisphosphonates or denosumab, has been receiving stable doses for ≥4 weeks prior to the date of randomization Participants who are Hepatitis B surface antigen (HBsAg) positive are eligible if they have received Hepatitis B virus (HBV) antiviral therapy for at least 4 weeks prior to the first dose of study intervention and have undetectable HBV viral load prior to randomization Participants with history of Hepatitis C virus (HCV) infection are eligible if HCV viral load is undetectable at screening  Exclusion Criteria:  Has breast cancer amenable to treatment with curative intent Has a history or current evidence of any condition (e.g., transfusion-dependent anemia or thrombocytopenia), therapy, or laboratory abnormality that is specifically contraindicated per the current locally-approved labeling, that might confound the results of the study, interfere with the participant's involvement for the full duration of the study, or is not in the best interest of the participant to be involved, in the opinion of the treating investigator Has significant cardiac disease, such as: history of myocardial infarction, acute coronary syndrome, coronary angioplasty/stenting/bypass within the last 6 months, congestive heart failure (CHF) New York Heart association (NYHA) Class II-IV, or history of CHF NYHA Class III or IV Has advanced/metastatic, symptomatic visceral spread at risk of rapidly evolving into life-threatening complications, such as lymphangitic lung metastases, bone marrow replacement, carcinomatous meningitis, significant symptomatic liver metastases, shortness of breath requiring supplemental oxygen, symptomatic pleural effusion requiring supplemental oxygen, symptomatic pericardial effusion, symptomatic peritoneal carcinomatosis, or the need to achieve rapid symptom control Has skin only disease Has a known germline breast cancer (BRCA) mutation (deleterious or suspected deleterious) and has not received previous treatment with poly ADP-ribose polymerase (PARP) inhibition Has received prior chemotherapy for locally recurrent inoperable or metastatic breast cancer Has received prior therapy with an anti- programmed cell death 1 (PD-1), anti- programmed cell death ligand 1 (PD-L1), or anti- programmed cell death ligand 2 (PD-L2) agent or with an agent directed to another stimulatory or coinhibitory T-cell receptor (e.g., cytotoxic T-lymphocyte-associated protein 4 (CTLA-4), OX-40, CD137) Has received prior systemic anticancer therapy with other investigational agents within 4 weeks prior to randomization Has received palliative radiotherapy prior to start of study intervention and has not recovered from all radiation-related toxicities and/or requires corticosteroids, and/or has radiation pneumonitis Has received a live or live attenuated vaccine within 30 days prior to the first dose of study intervention- any licensed COVID-19 mRNA, adenoviral, or inactivated vaccines are allowed 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 intervention Has a diagnosis of immunodeficiency or is receiving chronic systemic steroid therapy (in dosing exceeding 10 mg daily of prednisone equivalent) or any other form of immunosuppressive therapy within 7 days prior the first dose of study drug Has a known additional malignancy that is progressing or has required active treatment within the past 3 years with the exception of basal cell carcinoma of the skin, squamous cell carcinoma of the skin, or carcinoma in situ (e.g., breast carcinoma, cervical cancer in situ) that have undergone potentially curative therapy Has known active central nervous system (CNS) metastases Has diagnosed carcinomatous meningitis Has severe hypersensitivity to pembrolizumab and/or any of its excipients or has any hypersensitivity to the planned chemotherapy agent (paclitaxel, nab-paclitaxel, liposomal doxorubicin, or capecitabine) and/or any of their excipients Has an active autoimmune disease that has required systemic treatment in past 2 years Has a history of (noninfectious) pneumonitis that required steroids or has current pneumonitis Has an active infection requiring systemic therapy Has a known history of Human Immunodeficiency Virus (HIV) infection Has a known COVID-19 infection (symptomatic or asymptomatic) Has a known history of active tuberculosis (TB; Bacillus tuberculosis) Has a known psychiatric or substance abuse disorder including alcohol or drug dependency that would interfere with the participant's ability to cooperate with the requirements of the study Is breastfeeding or expecting to conceive or father children within the projected duration of the study, starting with the screening visit through 180 days (or longer as specified by local institutional guidelines) after the last dose of study treatment Has had an allogenic tissue/solid organ transplant