Inclusion Criteria:

          -  Have a confirmed diagnosis of:

               -  International Prognostic Scoring System (IPSS) intermediate-1, intermediate-2 or
                  high-risk MDS including chronic myelomonocytic leukemia (CMML) OR

               -  Low blast count AML with =< 30% blasts previously classified as refractory anemia
                  with excess blasts in transformation

          -  Have an Eastern Cooperative Oncology Group (ECOG) performance status of =< 2

          -  Hepatic:

          -  Total bilirubin =< 3 X upper limit of normal (ULN) (except subjects with Gilbert
             syndrome, who can have total bilirubin up to 3.5 X ULN)

          -  Aspartate aminotransferase (aspartate transaminase [AST]/serum glutamic-oxaloacetic
             transaminase [SGOT]) and alanine aminotransferase (alanine transaminase [ALT]/serum
             glutamate pyruvate transaminase [SGPT]) =< 3 X ULN

          -  Serum creatinine =< 2.5 X ULN

          -  Troponin-I =< ULN

          -  Creatine kinase (CK)-MB =< ULN

          -  Left ventricular ejection fraction (LVEF) >= ULN (institutional limit)

          -  Participants of child-bearing potential must agree to use adequate contraceptive
             methods (e.g., hormonal or barrier method of birth control; abstinence) prior to study
             entry; should a woman become pregnant or suspect she is pregnant while she or her
             partner is participating in this study, she should inform her treating physician
             immediately

          -  Participant or legal representative must understand the investigational nature of this
             study and sign an Independent Ethics Committee/Institutional Review Board approved
             written informed consent form prior to receiving any study related procedure

          -  No prior exposure to Nivolumab

          -  No prior investigational therapy within 2 weeks prior to study enrollment

        Exclusion Criteria:

          -  We will exclude patients who are eligible for an allogeneic bone marrow transplant at
             the time of study enrollment; if an enrolled patient subsequently becomes eligible for
             transplant, they will not be prevented from proceeding to the appropriate clinical
             treatment indicated

          -  Subjects with life-threatening illnesses other than MDS, uncontrolled medical
             conditions or organ system dysfunction which, in the investigator?s opinion, could
             compromise the subject?s safety, or put the study outcomes at risk

          -  AML associated with inv(16); t(16;16); t(8;21) or t(15;17)

          -  Previously untreated MDS with isolated del5q (for which lenalidomide is approved as
             approved therapy) and chronic myelomonocytic leukemia (CMML) with rearrangements of
             the PDGF receptor (for which imatinib is approved therapy) unless they have previously
             failed these approaches

          -  Subjects with symptomatic central nervous system (CNS) disease which is not adequately
             controlled

          -  Subjects who have received prior radiation therapy for extramedullary disease within 2
             weeks of first dose

          -  Has known immunosuppressive disease (e.g. human immunodeficiency virus [HIV], acquired
             immunodeficiency syndrome [AIDS] or other immune depressing disease); testing is not
             required, only to be done for a possible diagnosis which is not confirmed

          -  Uncontrolled intercurrent illness including, but not limited to, ongoing or active
             infection, symptomatic congestive heart failure, unstable angina pectoris, cardiac
             arrhythmia, or psychiatric illness/social situations that would limit compliance with
             study requirements; in addition, subjects will be excluded for any of the following:

               -  Myocardial infarction or arterial or venous thromboembolic events within 6 months
                  prior to baseline or severe or unstable angina, New York Heart Association (NYHA)
                  class III or IV disease

               -  Active congestive heart failure (New York Heart Association functional
                  classification III or IV)

               -  Documented history of cardiomyopathy with EF < 30%

               -  Uncontrolled hypertension (systolic blood pressure [SBP] > 160/diastolic blood
                  pressure [DBP] > 100 despite medical intervention)

               -  History of myocarditis of any etiology

          -  Subjects who have hypersensitivity to decitabine, CDX-1401, poly-ICLC or nivolumab

          -  History of auto-immune disease (e.g., thyroiditis, lupus), except vitiligo

          -  Pregnant or nursing female subjects

          -  Unwilling or unable to follow protocol requirements

          -  Any condition which in the investigator's opinion deems the participant an unsuitable
             candidate to receive study drug

          -  Regular use of immunosuppressant drugs such as steroids (> 20 mg prednisone
             equivalents), azathioprine, tacrolimus, cyclosporine, etc>. Use is not permitted
             within 4 weeks before recruitment