Inclusion Criteria:

• Histologically-proven, unresectable, locally advanced or metastatic melanoma, SCCHN, NSCLC, and other cancers that express B7-H3.
• Melanoma that has progressed during or following at least 1 and up to 5 prior systemic treatments for unresectable locally advanced or metastatic disease, or melanoma patients who are intolerable of or have refused standard cancer therapy. Pre- and on-study biopsy required.
• SCCHN that has progressed during or following at least 1 and up to 5 prior systemic treatments for metastatic or recurrent disease deemed to be incurable. Patient who refuse radical resection for recurrent disease or are intolerant of or refused standard first line therapy are eligible to enroll
• NSCLC that has progressed during or following 1 - 5 prior systemic therapies for unresectable locally advanced or metastatic disease (at least one docetaxel, gemcitabine, or platinum analogue based therapy), or are intolerant of or refused standard cancer therapy. For squamous cell carcinoma, or adenocarcinoma without known activating mutation: the prior systemic therapy is at least one platinum analogue. For adenocarcinoma with known activating driver mutation: the prior systemic therapy is at least TKI directed
• Urothelial cancer arising in the bladder, renal pelvis, ureter or urethra that has progressed during or following at least 1 and up to 5 prior systemic treatments for unresectable locally advanced or metastatic disease (includes anti-PD-L1,anti-PD-1, but excludes other experimental therapies). Patients must have received at least one platinum-containing regimen (e.g., gemcitabine/cisplatin [GC], dose-dense methotrexate/vinblastine/doxorubicin/cisplatin [DDMVAC], or carboplatinum/gemcitabine). No more than 5 prior systemic regimens allowed.
• Measurable disease per RECIST 1.1 criteria
• Easter Cooperative Oncology Group (ECOG) performance status 0 or 1
• Acceptable laboratory parameters and adequate organ reserve.

Exclusion Criteria:

• Patients with a history of symptomatic central nervous system metastases, unless treated and asymptomatic
• Patients with history of autoimmune disease with certain exceptions such as vitiligo, resolved chilhood atopic dermatitis, psoriasis not requiring systemic therapy within the past 2 years, patients with history of Grave's disease that are now euthyroid clinically and by lab testing
• History of allogeneic bone marrow, stem cell, or solid organ transplant
• Treatment with systemic cancer therapy or investigational therapy within 4 weeks of first study drug administration; radiation within 2 weeks; corticosteroids (greater than or equal to 10 mg prednisone or equivalent per day) or other immune suppressive drugs within 2 weeks of first study drug administration
• Trauma or major surgery within 4 weeks of first study drug administration
• History of clinically-significant cardiovascular disease; gastrointestinal perforation; gastrointestinal bleeding, acute pancreatitis or diverticulitis within 4 weeks of first study drug administration
• Active viral, bacterial, or systemic fungal infection requiring parenteral treatment within 7 days of first study drug administration
• Known history of hepatitis B or C infection or known positive test for hepatitis B surface antigen or core antigen, or hepatitis C polymerase chain reaction (PCR)
• Known positive testing for human immunodeficiency virus or history of acquired immune deficiency syndrome
• Known hypersensitivity to recombinant proteins, polysorbate 80, or any excipient contained in the drug or vehicle formulation for MGA271 or pembrolizumab.