The purpose of this study is to evaluate the long-term safety and efficacy of pembrolizumab (MK-3475) in participants from previous Merck pembrolizumab-based parent studies who transition into this extension study. This study will consist of three phases: 1) First Course Phase, 2) Survival Follow-up Phase or 3) Second Course Phase. Each participant will transition to this extension study in one of the following three phases, depending on the study phase they were in at the completion of the parent study. Participants who were in the First Course Phase of study treatment with pembrolizumab or lenvatinib in their parent study will enter the First Course Phase of this study and complete up to 35 doses or more every 3 weeks (Q3W) or 17 doses or more every 6 weeks (Q6W) of study treatment with pembrolizumab or a pembrolizumab-based combination or lenvatinib according to arm assignment. Participants who were in the Follow-up Phase in the parent study (post-treatment or Survival Follow-up Phase) will enter the Survival Follow-up Phase of this study. Participants who were in the Second Course Phase in their parent study will enter Second Course Phase of this study and complete up to 17 doses Q3W or 8 doses Q6W of study treatment with pembrolizumab or a pembrolizumab-based combination according to arm assignment. Any participant originating from a parent trial where crossover to pembrolizumab was permitted upon disease progression may be eligible for 35 doses as Q3W or 17 doses Q6W of pembrolizumab (approximately 2 years), if they progress while on the control arm and pembrolizumab is approved for the indication in the country where the potential eligible crossover participant is being evaluated.