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)

Eligibility Criteria

• * Histologically or cytologically confirmed diagnosis of metastatic or locally advanced unresectable 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-PD1/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.
• * 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 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)