∙ The main inclusion criteria include but are not limited to the following:

• Arms A-E:

‣ Has histologically or cytologically confirmed diagnosis of ES-SCLC in need of second-line therapy

⁃ Has progressed on or after treatment with an anti-programmed cell death 1 (PD-1)/ programmed cell death ligand 1 (PD-L1) monoclonal antibody (mAb) administered as part of first-line platinum-based systemic therapy for ES-SCLC

⁃ Has ES-SCLC defined as Stage IV (T any, N any, M1a/b/c) by the American Joint Committee on Cancer, Eighth Edition

⁃ Has received 1 prior line of systemic therapy for small cell lung cancer (SCLC)

⁃ If a woman of childbearing potential (WOCBP), participant must have a negative highly sensitive pregnancy test within 24 hours (for a urine test) or 72 hours (for a serum test) before the first dose of study treatment

⁃ Has measurable disease per RECIST 1.1 as assessed by local site investigator/radiology and verified by BICR

⁃ Has submitted an archival tumor tissue sample or newly obtained core, incisional, or excisional biopsy of a tumor lesion not previously irradiated

⁃ Has an Eastern Cooperative Oncology Group (ECOG) performance status of 0 to 1 assessed within 7 days before allocation/randomization

⁃ Participants who are Hepatitis B surface antigen (HBsAg) positive are eligible if they have received Hepatitis B virus (HBV) antiviral therapy for at least 4 weeks and have undetectable HBV viral load before randomization

⁃ Participants with history of Hepatitis C virus (HCV) infection are eligible if HCV viral load is undetectable at screening

⁃ Has a predicted life expectancy of \>3 months

• Arms A-D:

‣ Male participants must be abstinent from heterosexual intercourse or agree to use contraception during treatment for at least 7 days after the last dose of lenvatinib. No contraception is required if the participant is receiving pembrolizumab, pembrolizumab/quavonlimab, MK-4830, or favezelimab/pembrolizumab

⁃ Female participants are not pregnant or breastfeeding and are not a WOCBP or if are a WOCBP, are abstinent from heterosexual intercourse or are using contraception during the intervention period and for at least 120 days after the last dose of pembrolizumab, pembrolizumab/quavonlimab, MK-4830, or favezelimab/pembrolizumab or 30 days after the last dose of lenvatinib, whichever occurs last

⁃ Female participants must abstain from breastfeeding during the intervention period and for at least 120 days after the last dose of pembrolizumab, pembrolizumab/quavonlimab, MK-4830, or favezelimab/pembrolizumab or 7 days after the last dose of lenvatinib, whichever occurs last

• Has adequately controlled blood pressure (BP) with or without antihypertensive medications, defined as BP ≤150/90 millimeters of mercury (mm Hg) with no change in antihypertensive medications within 1 week before allocation/randomization

• Arm E:

‣ If capable of producing sperm, the participant agrees to refrain from donating sperm and abstain from penile-vaginal intercourse or use a penile/external condom when having penile-vaginal intercourse with a nonparticipant of childbearing potential who is not currently pregnant. The length of time required to continue contraception for the study intervention R-Dx-d is 120 days

⁃ If a person of childbearing potential (POCBP) must use a contraceptive method that is highly effective (with a failure rate of \<1% per year), with low user dependency, or if they adhere to penile-vaginal intercourse abstinence as their preferred and usual lifestyle (abstinent on a long-term and persistent basis), during the intervention period and for at least the time needed to eliminate the study intervention after the last dose of study intervention. In addition, the participant agrees not to donate eggs (ova, oocytes) to others or freeze/store eggs during this period for the purpose of reproduction. The length of time required to continue contraception for the study intervention R-Dx-d is 210 days