We herein report a 78-year old man with squamous cell carcinoma of the lungs treated with pembrolizumab. At 10 days after the administration of pembrolizumab, he showed progressive anemia and increased levels of bilirubin. Because the findings of a direct coombs test and cold hemagglutinin were positive, we diagnosed the patient with autoimmune hemolytic anemia and treated him with prednisolone. Subsequently, he was admitted to our hospital owing to fatigue, a high fever, and jaundice. His clinical findings met the diagnostic criteria of hemophagocytic lymphohistiocytosis, and he was rescued with a high dose of glucocorticoids. Marked tumor regression was obtained and has been maintained since then.