A Study to Evaluate Investigational Agents With or Without Pembrolizumab (MK-3475) in Participants With Advanced Esophageal Cancer Previously Exposed to Programmed Cell Death 1 Protein (PD-1)/ Programmed Cell Death Ligand 1 (PD-L1) Treatment (MK-3475-06B)

Inclusion Criteria

• Histologically or cytologically confirmed diagnosis of metastatic or locally advanced unresectable esophageal squamous cell carcinoma (ESCC)
• Has experienced investigator documented radiographic or clinical disease progression on one prior line of standard therapy, that includes a platinum agent and previous exposure to an anti-programmed cell death 1 (PD1)/programmed cell death ligand 1 (PD-L1) based therapy
• Has an evaluable baseline tumor sample (newly obtained or archival) for analysis
• Has adequately controlled blood pressure (BP) with or without antihypertensive medications
• Participants who have adverse events (AEs) due to previous anticancer therapies must have recovered to ≤Grade 1 or baseline. Participants with endocrine-related AEs who are adequately treated with hormone replacement or participants who have ≤Grade 2 neuropathy are eligible

Exclusion Criteria

• Direct invasion into adjacent organs such as the aorta or trachea
• Has experienced weight loss >10% over approximately 2 months prior to first dose of study therapy
• Has history of documented severe dry eye syndrome, severe Meibomian gland disease and/or blepharitis, or corneal disease that prevents/delays corneal healing
• Has active inflammatory bowel disease requiring immunosuppressive medication or previous history of inflammatory bowel disease
• Currently participating in or has participated in a study of an investigational agent or has used an investigational device within 4 weeks before the first dose of study intervention
• Diagnosis of immunodeficiency or is receiving chronic systemic steroid therapy or any other form of immunosuppressive therapy within 7 days prior to the first dose of study medication
• Known additional malignancy that is progressing or has required active treatment within the past 3 years, except basal cell carcinoma of the skin, squamous cell carcinoma of the skin, or carcinoma in situ that has undergone potentially curative therapy
• Known active central nervous system (CNS) metastases and/or carcinomatous meningitis
• Active autoimmune disease that has required systemic treatment in past 2 years
• Participants with human immunodeficiency virus (HIV) with a history of Kaposi's sarcoma and/or Multicentric Castleman's Disease
• Concurrent active hepatitis B and hepatitis C virus infection
• History of allogenic tissue/solid organ transplant
• Clinically significant cardiovascular disease within 12 months from first dose of study intervention
• Known gastrointestinal (GI) malabsorption or any other condition that may affect the absorption of lenvatinib. (Not applicable to actively enrolling arms as of Amendment 5)
• Has risk for significant GI bleeding such as a serious nonhealing wound, peptic ulcer, or bone fracture within 28 days prior to allocation/randomization, significant bleeding disorders, vasculitis, or has had a significant bleeding episode from the GI tract within 12 weeks prior to allocation/randomization. (Not applicable to actively enrolling arms as of Amendment 5)