We herein describe the case of a 67-year-old woman with advanced lung adenocarcinoma who developed interstitial lung disease (ILD) with alveolar hemorrhage induced by pembrolizumab. She received four courses of pembrolizumab therapy and achieved a partial response. She had no respiratory symptoms; however, chest radiography and computed tomography (CT) revealed ground-glass opacities (GGOs) and crazy-paving pattern. Based on findings of bloody bronchoalveolar lavage fluid and transbronchial lung biopsy samples, pembrolizumab-induced ILD with alveolar hemorrhage was diagnosed. Corticosteroid therapy rapidly improved alveolar hemorrhage and regressed GGOs on CT scan. This is the first report on ILD with alveolar hemorrhage induced by pembrolizumab.