Inclusion Criteria:

• Participants with the following histologically or cytologically confirmed solid tumor indications and line of treatment:
  1. Non-small cell lung cancer (NSCLC).
  2. Colorectal cancer.
  3. Cutaneous squamous cell carcinoma (cSCC).
  4. Advanced hepatocellular carcinoma.
  5. mCRPC.
  6. Ovarian cancer.
• Have measurable disease per RECIST 1.1. mCRPC participants with no measurable disease and only widespread bone disease must have a CTC count of >5 cells per 7.5 mL of blood.
• Accessible tumor tissue available for fresh biopsy except for mCRPC with no accessible tumor tissue
• Eastern Cooperative Oncology Group (ECOG) score 0-1.
• Have recovered from all AEs (except alopecia) due to previous therapies to grade ≤1 (excluding alopecia) or have stable grade 2 neuropathy.
• Have adequate organ function as defined below:
  1. Hematology:
     1. Absolute neutrophil count ≥1500/μL.
     2. Platelets ≥100 000/μL.
     3. Hemoglobin ≥9.0 g/dL .
  2. Renal function: Creatinine clearance as measured by glomerular filtration rate ≥30 mL/min using Cockcroft-Gault equation.
  3. Hepatic function: Alanine transaminase (ALT)/aspartate transaminase (AST) ≤2.5× upper limit of normal (ULN) and total bilirubin ≤1.5×ULN or direct bilirubin ≤ ULN in participants without liver metastasis. In participants with liver metastasis, ALT/AST ≤5×ULN is allowed but total bilirubin must be ≤2×ULN.
  4. Prothrombin time and activated partial thromboplastin time ≤1.5×ULN.
• Participants must not have active hepatitis B or hepatitis C infection.
• Adequate contraception must be applied in all women of childbearing potential (WOCBP) and in male participants.

Exclusion Criteria:

• Has received prior therapy with an anti-programmed cell death protein 1 (anti-PD-1), anti-programmed cell death ligand 1 (anti-PD-L1), or anti-programmed cell death ligand 2 (anti-PD-L2) agent or with an agent directed to another stimulatory or co-inhibitory T-cell receptor and was discontinued from that treatment due to a grade ≥3 AE.
• Prior exposure to agonists of interleukin (IL)-2 or IL-15.
• Prior systemic anti-cancer therapies, including investigational agents:
  1. Less than 4 weeks for systemic chemotherapy and immuno-oncology therapies; and for tyrosine kinase inhibitors 4 weeks or 5 half-lives (whichever is shorter).
  2. Less than 4 weeks from major surgeries and not recovered adequately.
• Has received prior radiotherapy within 2 weeks.
• NSCLC indication only: Received radiation therapy to the lung >30 Gy within 6 months.
• Has received a live or live-attenuated vaccine within 30 days.
• Clinically significant cardiac abnormalities including prior history of any of the following:
  1. Cardiomyopathy, with left ventricular ejection fraction ≤ 50%.
  2. Congestive heart failure of New York Heart Association grade ≥2.
  3. History of clinically significant artery or coronary heart disease.
  4. Prolongation of QTcF >450 msec .
  5. Clinically significant cardiac arrythmia that cannot be controlled with adequate medication.
• Uncontrolled hypertension defined as systolic blood pressure >160 mmHg, diastolic blood pressure >110 mmHg.
• Prior allogeneic hematopoietic stem cell transplantation within the last 5 years.
• Prior allogeneic tissue/solid organ transplant.
• Has a diagnosis of immunodeficiency or is receiving chronic systemic steroid therapy (exceeding 10 mg daily of prednisone equivalent) or any other form of immunosuppressive therapy.
• History of or serology positive for human immunodeficiency virus (HIV).
• Has a known additional malignancy that is progressing or has required active treatment within the past 5 years, except for basal cell carcinoma of the skin or carcinoma in situ that have undergone potentially curative therapy are not excluded.
• Has known active central nervous system metastases and/or carcinomatous meningitis, unless stable.
• Had severe hypersensitivity (grade ≥3) to pembrolizumab and/or any of its excipients.
• Has an active autoimmune disease that has required systemic treatment in the past 2 years.
• History of (non-infectious) pneumonitis/interstitial lung disease that required steroids or current pneumonitis/interstitial lung disease.
• Has an active infection requiring systemic therapy.
• Has any condition that might confound the results of the study or interfere with the participant's participation for the full duration of the study.