This phase II pilot trial studies how well brentuximab vedotin with or without nivolumab works in treating patients with CD30+ lymphoma that has come back after a period of improvement or does not respond to treatment. Biological therapies, such as brentuximab vedotin, may stimulate the immune system in different ways and stop cancer cells from growing. Monoclonal antibodies, such as nivolumab may interfere with the ability of tumor cells to grow and spread. Giving brentuximab vedotin with or without nivolumab may work better in treating patients with CD30+ lymphoma.