Immunotherapy is a promising strategy for triple-negative breast cancer (TNBC) patients, however, the overall survival (OS) of 5-years is still not satisfactory. Hence, developing more valuable prognostic signature is urgently needed for clinical practice. This study established and verified an effective risk model based on machine learning methods through a series of publicly available datasets. Furthermore, the correlation between risk signature and chemotherapy drug sensitivity were also performed. The findings showed that comprehensive immune typing is highly effective and accurate in assessing prognosis of TNBC patients. Analysis showed that IL18R1, BTN3A1, CD160, CD226, IL12B, GNLY and PDCD1LG2 are key genes that may affect immune typing of TNBC patients. The risk signature plays a robust ability in prognosis prediction compared with other clinicopathological features in TNBC patients. In addition, the effect of our constructed risk model on immunotherapy response was superior to TIDE results. Finally, high-risk groups were more sensitive to MR-1220, GSK2110183 and temsirolimus, indicating that risk characteristics could predict drug sensitivity in TNBC patients to a certain extent. This study proposes an immunophenotype-based risk assessment model that provides a more accurate prognostic assessment tool for patients with TNBC and also predicts new potential compounds by performing machine learning algorithms.