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Recent studies have shown that immune infiltrates in the tumor microenvironment play a role in response to therapy, with some suggesting that patients with immunogenic tumors may receive increased benefit from chemotherapies. We evaluated this hypothesis in early breast cancer by testing the interaction between immune biomarkers and chemotherapy using materials from DBCG77B, a phase III clinical trial where high-risk premenopausal women were randomized to receive chemotherapy or no chemotherapy. Tissue microarrays were evaluated for tumor-infiltrating lymphocytes (TILs) assessed morphologically on hematoxylin and eosin-stained slides, and by immunohistochemistry for CD8, FOXP3, LAG-3, PD-1 and PD-L1. Following REMARK reporting guidelines, data analyses were performed according to a prespecified statistical plan, using 10-year invasive disease-free survival as the endpoint. Differences in survival probabilities between biomarker groups were evaluated by Kaplan–Meier and Cox proportional hazard ratio analyses and prediction for treatment benefit by an interaction test. Our results showed that stromal TILs were associated with an improved prognosis (HR = 0.93; p-value = 0.03), consistent with previous studies. However, none of the immune biomarkers predicted benefit from chemotherapy in the full study set nor within major breast cancer subtypes. Our study indicates that primary tumors with higher immune infiltration do not derive extra benefit from cyclophosphamide-based cytotoxic chemotherapy.