Inclusion Criteria:
* Participants ≥18 years of age
* Previously treated, histologically-confirmed advanced solid malignancy with progressive disease requiring therapy
* Refractory or intolerant to standard therapy(ies)
* Must have received, be not eligible or decline standard of care therapy
* Participants must have measurable disease per Response Evaluation Criteria in Solid Tumors (RECIST version 1.1)
* For participants who have received prior treatment with a checkpoint inhibitor there must be documented disease progression
* ECOG performance status of 0 or 1
* Life expectancy of ≥ 12 weeks in Parts A and C and ≥ 24 weeks in Parts B and D
* Participants must be willing to provide fresh tumor biopsy (core biopsy) both pre-treatment (Parts A, B, C and D) and on-treatment (Parts A and B), if clinically feasible
* Disease-free of active second/secondary or prior malignancies for ≥ 2 years
* Laboratory test results within the required parameters
* Women of child bearing potential (WOCBP) and men must agree to use adequate contraception
* Parts B, C and D may include the following tumor types:
* Endometrial carcinoma
* Squamous head and neck carcinoma
* Cutaneous melanoma
* Non-small cell lung cancer
* Proficient MMR (pMMR)/MSS adenocarcinoma of the colon or rectum (Parts C and D only)
Parts A, B, C and D Exclusion Criteria:
* Participant with acute leukemia or CLL (Parts A and B only)
* Participant with heart disease or unstable arrhythmia
* Active, uncontrolled bacterial, viral, or fungal infections requiring systemic therapy
* Participant has active autoimmune disease or other medical conditions requiring chronic systemic steroid or immunosuppressive therapy
* History of major organ transplant
* History of a bone marrow transplant
* Symptomatic central nervous system (CNS) malignancy or metastasis
* Serious nonmalignant disease
* Pregnant or nursing women
* Treatment with PD-1 and equivalent immune modulators or major surgery prior to the first dose of study medication
* Participants who are currently receiving any other investigational agent or have received an investigational agent within 4 weeks prior to the first dose of study medication
* Treatment with any anticancer treatments with 2-weeks prior to the first dose of study medication
* Radiation for symptomatic lesions must have been completed prior to the first dose of study medication
* Participants with liver metastases unless approved by the Sponsor
* Any history of an immune related ≥ Grade 3 AE attributed to prior cancer immunotherapy
* Has a known additional malignancy that is progressing or has required active treatment within the past 2 years from C1D1
* Has received radiation therapy to the lung that is higher than 30 Gy within 6 months prior to C1D1 for NSCLC (Parts C and D only)
* Has a known additional malignancy that is progressing or has required active treatment within the past 2 years from C1D1 (Parts C and D only)
* Has severe hypersensitivity ( ≥ Grade 3) to Pembrolizumab and/or any of its excipients (Parts C and D only)
* Has a history of (non-infectious) pneumonitis / interstitial lung disease that required steroids or has current pneumonitis / interstitial lung disease (Parts C and D only)
* Has a condition, therapy, laboratory abnormality, or circumstance that could confound study results or interfere with full participation, making it unsuitable for the participant, as determined by the treating Investigator (Parts C and D only)
* Active substance abuse
High burden on patient
