Pembrolizumab and Enobosarm in Treating Patients With Androgen Receptor Positive Metastatic Triple Negative Breast Cancer

Inclusion Criteria: * Documented informed consent * Willing to provide a sample from a recently obtained (within 42 days prior to initiation of day 1) biopsy of a tumor lesion * If recently-obtained samples are unavailable an archived metastatic specimen not previously irradiated may be submitted upon agreement from the study principal investigator (PI) * Eastern Cooperative Oncology Group (ECOG) performance status of =\< 1 * Life expectancy of \> 3 months * Metastatic triple negative breast cancer (TNBC) * Measurable disease per RECIST version (v)1.1 criteria: at least 1 lesion of \> 10 mm in long axis diameter for non-lymph nodes or \> 15 mm in short axis diameter for lymph nodes that is serially measurable according to RECIST 1.1 using computerized tomography, magnetic resonance imaging, or panoramic and close-up color photography * Histologically proven diagnosis of TNBC per current American Society of Clinical Oncology (ASCO)/College of American Pathologists (CAP) guideline * Estrogen receptor (ER) negative (ER expression =\< 10% positive tumor nuclei), progesterone receptor (PR) negative (PR expression =\< 10% positive tumor nuclei) and HER2 negative breast cancer by IHC and /or fluorescence in situ hybridization (FISH) * Androgen receptor positive (AR+) * Defined as \>= 50% nuclear AR staining by immunohistochemistry (IHC) in either the primary or metastatic lesion * NOTE: research testing of AR status is available at City of Hope (COH) Pathology * Resolution of grade 2 and above toxicities of most recent therapy except for stable sensory neuropathy (=\< grade 2) and alopecia * Female (childbearing potential): use an adequate method of birth control (except hormonal contraception) or be surgically sterile, or abstain from heterosexual activity for the course of the study through 120 days after the last dose of study medication * Childbearing potential defined as not being surgically sterilized or have not been free from menses for \> 1 year * Male: use and adequate method of contraception with the first dose of study therapy through 120 days after the last dose of study therapy * Note: abstinence is acceptable if this is the usual lifestyle and preferred contraception for the subject * Absolute neutrophil count (ANC) \>= 1500/mm\^3 (within 14 days prior to day 1 of protocol therapy) * Platelets \>= 100,000/mm\^3 (within 14 days prior to day 1 of protocol therapy) * Hemoglobin \>= 9 g/dL or \>= 5.6 mmol/L without transfusion or erythropoietin (EPO) dependency (within 7 days of assessment) (within 14 days prior to day 1 of protocol therapy) * Serum total bilirubin =\< 1.5 x upper limit of normal (ULN) OR direct bilirubin =\< ULN if total bilirubin levels \> 1.5 x ULN (within 14 days prior to day 1 of protocol therapy) * Albumin \>= 2.5 mg/dL (within 14 days prior to day 1 of protocol therapy) * Aspartate aminotransferase (AST) and alanine aminotransferase (ALT) =\< 2.5 x ULN OR =\< 5.0 x ULN if liver metastases present (within 14 days prior to day 1 of protocol therapy) * Serum creatinine =\< 1.5 x ULN OR creatinine clearance (if measured or calculated per institutional standard; glomerular filtration rate \[GFR\] can also be used in place of creatinine or creatinine clearance \[CrCl\]) \>= 60 mL/min if creatinine levels \> 1.5 x ULN (within 14 days prior to day 1 of protocol therapy) * Female of childbearing potential only: negative urine or serum pregnancy test; if the urine test is positive or cannot be confirmed as negative, a serum pregnancy test will be required (within 14 days prior to day 1 of protocol therapy) Exclusion Criteria: * Anti-programmed cell death protein-1 (anti-PD-1), PD ligand-1 (PD-L1), PD ligand-2 (PD-L2) agent, an antibody targeting other immuno-regulatory receptors or mechanisms * Radiotherapy within 14 days prior to day 1 of protocol therapy * AR targeted agents (including GTx-024, enzalutamide or other AR targeted therapies) * Investigational agent within 21 days prior to day 1 of protocol therapy * Hormone replacement therapies (estrogens, megestrol acetate) within 14 days prior to day 1 of protocol therapy * Live-virus vaccination within 30 days prior to day 1 of protocol therapy * Systemic cytotoxic chemotherapy, antineoplastic biologic therapy, or major surgery within 21 days of the first dose of trial medication * Testosterone or testosterone-like agents (methyltestosterone, oxandrolone, oxymetholone, danazol, fluoxymesterone, dehydroepiandrosterone, androstenedione) other androgenic compounds or anti-androgens within 30 days prior to day 1 of protocol therapy * Chronic systemic steroid therapy or on any other form of immunosuppressive medication * Unstable or untreated brain/leptomeningeal metastasis * Clinically active diverticulitis, intra-abdominal abscess, gastrointestinal (GI) obstruction, or abdominal carcinomatosis (known risks factors for bowel perforation) * Active central nervous system metastases and/or carcinomatous meningitis * Severe hypersensitivity reaction to treatment with another monoclonal antibody * Active autoimmune disease that has required systemic treatment in the past 2 years (replacement therapies for hormone deficiencies are allowed) * Known history of human immunodeficiency virus (HIV), hepatitis B or hepatitis C * History of pneumonitis (non-infectious) that required steroids or current pneumonitis * Diagnosed with or treated for cancer within the previous two years, other than breast cancer or non-melanoma carcinoma of the skin * Unable to swallow capsules * Currently on bisphosphonate or denosumab with elevated serum calcium levels corrected for albumin/ionized calcium levels outside of institutional normal limits * Female: pregnant or lactating * Concomitant medical condition that precludes adequate study treatment compliance or assessment, or increases subject risk, in the opinion of the investigator, such as but not limited to: * Myocardial infarction or arterial thromboembolic events within 6 months prior to baseline or severe or unstable angina, New York Heart Association (NYHA) class III or IV disease, or a QTCB (corrected according to Bazett's formula) interval \> 470 msec; serious uncontrolled cardiac arrhythmia grade II or higher according to NYHA; uncontrolled hypertension (systolic \> 150 and/or diastolic \> 100 mm Hg) * Acute and chronic active infectious disorders and non-malignant medical illnesses that are uncontrolled or whose control may be jeopardized by the complications of this study therapy * Impairment of gastrointestinal function or gastrointestinal disease that may significantly alter the absorption of study drugs (e.g., ulcerative disease, uncontrolled nausea, vomiting, diarrhea, malabsorption syndrome) * Prospective participants who, in the opinion of the investigator, may not be able to comply with all study procedures (including compliance issues related to feasibility/logistics)