Inclusion Criteria (Part F is the only part currently enrolling participants)

• In Part A: Histological or cytological diagnosis of MEL or any type of carcinoma, progressive metastatic disease, or progressive locally advanced disease not amenable to local therapy. In Parts B and D of the study, histological or cytological diagnoses of metastatic MEL with progressive locally advanced or metastatic disease. In Parts C and F, histological or cytological diagnosis of NSCLC. In Part F, participants with Stage IV NSCLC without prior systemic therapy may be eligible.
• Failure of established standard medical anti-cancer therapies for a given tumor type or intolerance to such therapy.
• In Parts B, C, D, or F of the study, MEL or NSCLC must be measurable by imaging.
• In Part F of the study, NSCLC with PD-L1 gene expression.
• Performance status of 0 or 1 on the Eastern Cooperative Oncology Group (ECOG) Performance Scale.
• Adequate organ function.
• Female participants of childbearing potential should have a negative urine or serum pregnancy test prior to receiving study medication
• Female participants of childbearing potential must be willing to use adequate contraception from study start, through the course of the study, and for 120 days after the last dose of study medication
• Male participants of childbearing potential must agree to use adequate contraception from the first dose of study medication through 120 days after the last dose of study medication

Exclusion Criteria (Part F is the only part currently enrolling participants)

• Chemotherapy, radioactive, or biological cancer therapy within 4 weeks prior to the first dose of study therapy, or not recovered to Common Terminology Criteria for Adverse Events (CTCAE) Grade 1 or better from the adverse events caused by therapy administered more than 4 weeks prior to first dose.
• Participation in a study of an investigational agent or using an investigational device within 30 days of administration of pembrolizumab, with the exception of participants in the follow-up phase.
• Other form(s) of antineoplastic therapy anticipated during the period of the study.
• History of pneumonitis requiring treatment with steroids, or has a history of interstitial lung disease.
• Medical condition that requires chronic systemic steroid therapy, or on any other form of immunosuppressive medication, excepting use of inhaled steroids.
• History of acute diverticulitis, intra-abdominal abscess, GI obstruction, abdominal carcinomatosis.
• History of a hematologic malignancy, malignant primary brain tumor, malignant sarcoma, or another malignant primary solid tumor, unless no evidence of that disease for 5 years.
• Active central nervous system (CNS) metastases and/or carcinomatous meningitis.
• Previous severe hypersensitivity reaction to another monoclonal antibody (mAb).
• Active autoimmune disease or a documented history of autoimmune disease or syndrome that requires systemic steroids or immunosuppressive agents, except vitiligo or resolved childhood asthma/atopy.
• Prior therapy with another anti-programmed cell death (PD)-1 agent or previously enrolled in any pembrolizumab trial.
• Active infection requiring therapy.
• Positive for Human Immunodeficiency Virus (HIV), Hepatitis B (Hepatitis B Surface Antigen [HBsAg] reactive), or Hepatitis C virus (Hepatitis C Virus Ribonucleic Acid [HCV RNA] (qualitative) is detected).
• Regular use of illicit drugs or a recent history (within the last year) of substance abuse (including alcohol).
• Symptomatic ascites or pleural effusion.
• Participant is pregnant or breastfeeding, or expecting to conceive or father children within the projected duration of the study.