An 84-year-old man with advanced bladder cancer had received pembrolizumab as second-line chemotherapy. One week after the initiation of pembrolizumab therapy, he had symptoms of fever and blood sputum. Computed tomography scan showed bilateral ground glass opacities and consolidations. Bronchoscopy showed active bleeding from the right middle lobe, and bronchoalveolar lavage fluid revealed alveolar hemorrhage pattern. The serum level of myeloperoxidase anti-neutrophil cytoplasmic antibody (MPO-ANCA) was high (41.3 EU). Based on these findings, a diagnosis of MPO-ANCA-positive alveolar hemorrhage induced by pembrolizumab was made. The clinical findings were improved rapidly by corticosteroid therapy and withdrawal of pembrolizumab. This is an important case of alveolar hemorrhage associated with MPO-ANCA as an immune-related adverse event of immune checkpoint inhibitor therapy.