Inclusion Criteria:  Male/female participants who are at least 18 years of age on the day of signing informed consent with Pathologic findings supporting the clinical impression of anaplastic thyroid carcinoma will be enrolled in this study. Diagnosis may include consistent with or suggestive of terminology associated with: anaplastic thyroid carcinoma, undifferentiated carcinoma, squamous carcinoma; carcinoma with spindled, giant cell, or epithelial features; poorly differentiated carcinoma with pleomorphism, extensive necrosis with tumor cells present. Stage IVB disease (no convincing evidence of metastatic disease outside of the neck) who have unresectable disease are eligible in groups 1 or 2. Previous excisional biopsy is permitted. Stage IVB disease (no convincing evidence of metastatic disease outside of the neck) who have undergone complete resection of tumor (no convincing evidence of metastatic disease in the neck) are eligible in group 3 Patient must have completed external beam radiation with or without concomitant cytotoxic chemotherapy to participate in groups 1 and 2. Those who have completed these treatment after surgical resection of primary tumor may participate in group 3. Patients may enroll only after completing radiation. Study drug may start from 2-6 weeks (+2 weeks) after radiation is completed and can only be started once radiation and chemotherapy-related toxicities are grade 2 or less (with the exception of alopecia). If a subject is consented but AEs are not grade 2 or less by 8 weeks after RT is completed, that subject is not eligible and should not start pembrolizumab.  A female participant is eligible to participate if she is not pregnant (see Appendix 3), not breastfeeding, and at least one of the following conditions applies:  Not a woman of childbearing potential (WOCBP) as defined in Appendix 3 OR A WOCBP who agrees to follow the contraceptive guidance in Appendix 3 during the treatment period and for at least 120 days after the last dose of study treatment. The participant (or legally acceptable representative if applicable) provides written informed consent for the trial. Eastern Cooperative Oncology Group (ECOG) performance status of 0 to 1. Evaluation of ECOG is to be performed within 7 days prior to the first dose of study intervention. Adequate organ function as defined in the following table (Table 1). Specimens must be collected within 10 days prior to the start of study intervention.  Exclusion Criteria:  BRAFV600E mutated ATC unless there is a contraindication to BRAF +/- MEK inhibitor therapy. There must be a discussion with the PI regarding reasons for contraindication and this must be clearly documented. A WOCBP who has a positive urine pregnancy test within 72 hours prior to first dose of pembrolizumab (see Appendix 3). A serum pregnancy test will be required. A male participant must agree to use a contraception as detailed in Appendix 3 of this protocol during the treatment period and for at least 32 weeks (5 terminal half-lives for pembrolizumab plus an additional 90 days) from the last dose of study treatment and refrain from donating sperm during this period. Has received prior therapy with an anti-PD-1, anti-PD-L1, or anti PD L2 agent or with an agent directed to another stimulatory or co-inhibitory T-cell receptor (eg, CTLA-4, OX 40, CD137). Has received a live vaccine or live-attenuated vaccine within 30 days prior to the first dose of study drug. Administration of killed vaccines is 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 to the first dose of study drug.