Treatment Phase: Participants randomized to pembrolizumab will be treated for up to 35 cycles or until documented progressive disease (PD) occurs. Participants randomized to SOC chemotherapies will be treated with their randomized study drug for up to 4-6 cycles. After this, participants with non-squamous histologies may choose to be treated with maintenance pemetrexed for the remainder of the study or until disease progression, unacceptable adverse event(s) (AEs), intercurrent illness that prevents further administration of treatment, investigator's decision to withdraw the participant, noncompliance with study treatment or procedures requirements, the participant receives 35 treatments of study treatment (pembrolizumab arm only), or administrative reasons. Participants receiving pembrolizumab who stop drug administration after receiving 35 study treatments for reasons other than disease progression or intolerability, or participants who attain a complete response and stop study treatment may be eligible for retreatment with pembrolizumab upon experiencing disease progression. The decision to retreat with a second course of pembrolizumab will be at the discretion of the Investigator only if participants meet the criteria for retreatment and the study is ongoing. Retreatment (second course) is limited to 17 cycles. Participants randomized to receive SOC chemotherapy may be eligible to receive pembrolizumab if crossover criteria are met.