Inclusion Criteria:

• Histologically or cytologically-documented, advanced solid tumor of one of the following types:
  • Anal Squamous Cell Carcinoma
  • Biliary Adenocarcinoma (gallbladder or biliary tree (intrahepatic or extrahepatic cholangiocarcinoma) except Ampulla of Vater cancers)
  • Neuroendocrine Tumors (well- and moderately-differentiated) of the lung, appendix, small intestine, colon, rectum, or pancreas
  • Endometrial Carcinoma (sarcomas and mesenchymal tumors are excluded)
  • Cervical Squamous Cell Carcinoma
  • Vulvar Squamous Cell Carcinoma
  • Small Cell Lung Carcinoma
  • Mesothelioma
  • Thyroid Carcinoma
  • Salivary Gland Carcinoma (sarcomas and mesenchymal tumors are excluded)
  • OR
  • Any advanced solid tumor, with the exception of colorectal carcinoma (CRC), which is Microsatellite Instability (MSI)-High (MSI-H)
• Progression of tumor or intolerance to therapies known to provide clinical benefit. There is no limit to the number of prior treatment regimens
• Can supply tumor tissue for study analyses (dependent on tumor type)
• Radiologically-measurable disease
• Performance status of 0 or 1 on the Eastern Cooperative Oncology Group (ECOG) Performance Scale within 3 days prior to first dose of pembrolizumab
• Life expectancy of at least 3 months
• Adequate organ function
• Female participants of childbearing potential must be willing to use adequate contraception for the course of the study through 120 days after the last dose of study medication
• Male participants with partners of must childbearing potential must be willing to use adequate contraception for the course of the study through 120 days after the last dose of study medication

Exclusion Criteria:

• Currently participating and receiving study therapy or has participated in a study of an investigational agent and received study therapy or used an investigational device within 4 weeks of the first dose of study medication
• Diagnosis of immunodeficiency or receiving systemic steroid therapy or any other form of immunosuppressive therapy within 7 days prior to the first dose of study medication
• Active autoimmune disease that has required systemic treatment in the past 2 years
• Prior anti-cancer monoclonal antibody (mAb) within 4 weeks prior to study Day 1 or not recovered from an adverse event caused by mAbs administered more than 4 weeks earlier
• Prior chemotherapy, targeted small molecule therapy, or radiation therapy within 2 weeks of study Day 1 or not recovered from adverse events caused by a previously administered agent
• Known additional malignancy within 2 years prior to enrollment with the exception of curatively treated basal cell carcinoma of the skin, squamous cell carcinoma of the skin and/or curatively resected in situ cancers
• Known active central nervous system (CNS) metastases and/or carcinomatous meningitis
• Has known glioblastoma multiforme of the brainstem
• History of non-infectious pneumonitis that required steroids or current pneumonitis
• Active infection requiring systemic therapy
• Known psychiatric or substance abuse disorders that would interfere with cooperation with the requirements of the study
• Pregnant, breastfeeding, or expecting to conceive or father children within the projected duration of the study, starting with the screening visit through 120 days after the last dose of study medication
• Previously participated in any other pembrolizumab (MK-3475) study, or received prior therapy with an anti-programmed cell death (PD)-1, anti-PD-Ligand 1 (anti-PD-L1), anti-PD-L2, or any other immunomodulating mAb or drug specifically targeting T-cell co-stimulation or checkpoint pathways
• Known history of Human Immunodeficiency Virus (HIV)
• Known active Hepatitis B or C
• Received live vaccine within 30 days of planned start of study medication
• Has severe hypersensitivity (≥Grade 3) to pembrolizumab and/or any of its excipients
• Known history of active tuberculosis (TB, Bacillus tuberculosis)