This study is a rolling arm study of investigational agents as monotherapy or in combination with pembrolizumab in participants with anti-programmed cell death 1 (PD-1)/ programmed cell death ligand 1 (PD-L1) refractory ES-SCLC in need of second-line treatment. This study will have 2 parts: an initial safety lead-in to determine safety and tolerability for experimental combinations of investigational agents without an established recommended phase 2 dose (RP2D) followed by an efficacy evaluation. Investigational agents will initiate directly in or be added to the efficacy evaluation after an initial evaluation of safety and tolerability of the investigational agent has been completed in a separate study or in the safety lead-in of this study. If an RP2D for a combination being evaluated in the safety lead-in is established from another study, then the efficacy evaluation may begin at the determined RP2D. There will be no hypothesis testing in this study.