The purpose of this study is to evaluate how safe and effective the combination of the study drugs romidepsin and lenalidomide is for treating patients with peripheral t-cell lymphoma (PTCL) who have not been previously treated for this cancer. Currently, there is no standard treatment for patients with PTCL; the most common treatment used is a combination of drugs called CHOP, but this can be a difficult treatment to tolerate because of side effects, and is not particularly effective for most patients with PTCL. Romidepsin (Istodax®) is a type of drug called an HDAC inhibitor. It interacts with DNA (genetic material in cells) in ways that can stop tumors from growing. It is given as an infusion through the veins. Lenalidomide (Revlimid®) is a type of drug known as an immunomodulatory drug, or IMID for short. This drug affects how tumor cells grow and survive, including affecting blood vessel growth in tumors. It is given as an oral tablet (by mouth).