Background: Systemic inflammatory markers derived from peripheral blood cells, such as the neutrophils and lymphocytes ratio (NLR), derived neutrophil lymphocyte ratio (dNLR), platelet-lymphocyte ratio (PLR), and lymphocyte–monocyte ratio (LMR), have shown promise as prognostic markers. Currently, neoadjuvant treatment (NACT) for early triple-negative breast cancer (eTNBC) involves the addition of an immune therapy, and little is known about the variation of these markers in this specific context. Methods: This study evaluated two groups who received NACT for eTNBC in a single third-level cancer center. The first received NACT with EC X4 and a weekly paclitaxel regimen, the second pembrolizumab and NACT. A total of 70 patients were included, 37 patients in the pembrolizumab group. NLR was defined as the absolute blood neutrophil count (N) divided by the absolute lymphocyte count (L), dNLR was defined as the N divided by the derived L (absolute leukocyte count — N), PLR was defined as the absolute platelet count divided by the L, LMR was defined as the L divided by the absolute monocyte count. Association between systemic inflammatory markers and pathological complete response (pCR) was analyzed using statistical tests. Inflammatory markers were evaluated at the time of diagnosis, at the time of chemotherapy regimen change, and 1 week before surgery. The χ2 test or Fisher’s exact test was used for correlation and Student’s t-test to compare different groups. Results: The pCR rates were 60,6% in the standard therapy and 77,8% in the pembrolizumab. There were no significant differences in clinical characteristics between the two groups. NLR, dNLR, PLR and LMR at 6 months showed significant differences compared to baseline levels. dNLR in the immunotherapy group, at the end of therapy, showed statistical significance with the Welch Two Sample t-test with p-value = 0.001. Variables were weighted with respect to the type of treatment and the outcome was assessed as pCR. On the basis of these data, a nomogram was constructed to predict the likelihood of achieving pCR in patients undergoing neoadjuvant pembrolizumab therapy. Conclusions: This study highlights the potential of systemic inflammatory markers as prognostic indicators in patients with eTNBC undergoing NACT. dNLR is a novel biomarker associated with clinical outcome in solid tumors. In this study, for the first time, a correlation was found between the use of pembrolizumab and the change in dNLR and consequently its impact on pCR. A nomogram was constructed to predict the outcome of pCR.