Inclusion Criteria:

          -  Have a pathologically confirmed diagnosis of colorectal cancer, which is metastatic or
             otherwise unresectable

          -  Have received at least 1 prior systemic therapy in the metastatic or unresectable
             disease setting; patients who have recurred within six months of adjuvant chemotherapy
             are not required to have received an additional line of chemotherapy

          -  Retrovirus-associated deoxyribonucleic acid (DNA) sequence (RAS) wild-type; v-Ki-ras2
             Kirsten rat sarcoma viral oncogene homolog (KRAS) testing must be completed, with full
             KRAS and neuroblastoma RAS viral (v-ras) oncogene homolog (NRAS) testing strongly
             advised; the presence of known mutations in KRAS or NRAS is exclusionary; primary
             tumor or metastatic tumor may be tested; (note: in the case of multiple genomic
             evaluations with conflicting results - e.g. KRAS mutant in one sample, but wild-type
             in another - the patient may be included as RAS wild-type, if clinically justified,
             after review with the principal investigator [PI])

          -  Appropriate for anti-EGFR therapy: Naive to anti-EGFR therapy (cetuximab or
             panitumumab) or a candidate for rechallenge by virtue of the following:

               1. the investigator deems anti-EGFR retreatment with cetuximab to be a reasonable
                  standard of care option AND

               2. outcome of prior anti-EGFR therapy was not rapid progression (i.e. <= 3 months on
                  therapy) AND

               3. prior anti-EGFR therapy was administered > 6 months prior to the start of
                  protocol therapy

          -  Have an Eastern Cooperative Oncology Group (ECOG) performance status =< 2

          -  Have measurable disease per Response Evaluation Criteria in Solid Tumors (RECIST) 1.1
             criteria present

          -  Be willing to provide tissue from a newly obtained core or excisional biopsy of a
             tumor lesion; newly-obtained is defined as a specimen obtained up to 30 days prior to
             initiation of treatment on day 1

          -  Hemoglobin >= 8 g/dL (performed within 14 days of treatment initiation)

          -  Absolute neutrophil count >= 1000/mm3 (performed within 14 days of treatment
             initiation)

          -  Platelet count >= 100,000/mm3 (performed within 14 days of treatment initiation)

          -  Serum creatinine =< 2 upper limit of normal (ULN) or, >= 15 mL/min for participants
             with creatinine levels > 2 ULN (performed within 14 days of treatment initiation)

          -  Aspartate aminotransferase (AST) (serum glutamic oxaloacetic transaminase [SGOT]) and
             alanine aminotransferase (ALT) (serum glutamate pyruvate transaminase [SGPT]) =< 2.5
             ULN or, =< 5 ULN for participants with liver metastases (performed within 14 days of
             treatment initiation)

          -  Female participants of childbearing potential are to have a negative serum pregnancy
             test

          -  Female participants of child-bearing potential must agree to use an acceptable method
             of birth control, be surgically sterile, or abstain from heterosexual activity for the
             course of the study through 120 days after the last dose of study medication;
             participants of childbearing potential are those who have not been surgically
             sterilized or have not been free from menses for > 1 year; should a woman become
             pregnant or suspect she is pregnant while she or her partner is participating in this
             study, she should inform her treating physician immediately

          -  Male participants must agree to use an adequate method of contraception starting with
             the first dose of study therapy through 120 days after the last dose of study therapy

          -  Participant or legal representative must understand the investigational nature of this
             study and sign an Independent Ethics Committee/Institutional Review Board approved
             written informed consent form prior to receiving any study related procedure

        Exclusion Criteria:

          -  Participants who have had chemotherapy, targeted therapies, radiotherapy, or used an
             investigational device within 2 weeks prior to the first dose of treatment or those
             who have not recovered from adverse events (i.e., =< grade 1 or at baseline) due to
             agents administered more than 2 weeks earlier; note: participants with =< grade 2
             neuropathy are an exception to this criterion and may qualify for the study

          -  Has a diagnosis of immunodeficiency or is receiving systemic steroid therapy or any
             other form of immunosuppressive therapy within 7 days prior to the first dose of trial
             treatment

          -  Has a known history of active TB (Bacillus Tuberculosis)

          -  Hypersensitivity to pembrolizumab or any of its excipients

          -  Prior severe infusion reaction to cetuximab

          -  Has a known additional malignancy that requires active treatment; exceptions include
             basal cell carcinoma of the skin or squamous cell carcinoma of the skin that has
             undergone potentially curative therapy or in situ cervical cancer

          -  Has known active central nervous system (CNS) metastases and/or carcinomatous
             meningitis; participants with previously treated brain metastases may participate
             provided they are stable (without evidence of progression by imaging for at least four
             weeks prior to the first dose of trial treatment and any neurologic symptoms have
             returned to baseline), have no evidence of new or enlarging brain metastases, and are
             not using steroids for at least 7 days prior to trial treatment; this exception does
             not include carcinomatous meningitis which is excluded regardless of clinical
             stability

          -  Has active autoimmune disease that has required systemic treatment in the past 2 years
             (i.e. with use of disease modifying agents, corticosteroids or immunosuppressive
             drugs); replacement therapy (e.g., thyroxine, insulin, or physiologic corticosteroid
             replacement therapy for adrenal or pituitary insufficiency) is not considered a form
             of systemic treatment

          -  Has known history of, or any evidence of active, non-infectious pneumonitis

          -  Uncontrolled clinically significant intercurrent illness including, but not limited
             to, ongoing or active infection, symptomatic congestive heart failure, unstable angina
             pectoris, unstable cardiac arrhythmia, or psychiatric illness, substance abuse
             disorders or social situations that would limit compliance with study requirements

          -  Is pregnant or breastfeeding, or expecting to conceive or father children within the
             projected duration of the trial, starting with the pre-screening or screening visit
             through 120 days after the last dose of trial treatment

          -  Has a known history of human immunodeficiency virus (HIV or HIV 1/2 antibodies);
             testing not required

          -  Has known active hepatitis B (e.g., hepatitis B surface antigen [HBsAg] reactive) or
             hepatitis C (e.g., hepatitis C virus [HCV] ribonucleic acid [RNA] [qualitative] is
             detected); testing not required

          -  Has received a live vaccine within 30 days of planned start of study therapy (note:
             seasonal influenza vaccines for injection are generally inactivated flu vaccines and
             are allowed; however intranasal influenza vaccines (e.g., Flu-Mist®) are live
             attenuated vaccines, and shingles are not allowed)

          -  Received an investigational agent within 30 days prior to starting study treatment

          -  Has a history or current evidence of any condition, therapy, or laboratory abnormality
             that might confound the results of the trial, interfere with the subject's
             participation for the full duration of the trial, or is not in the best interest of
             the subject to participate, in the opinion of the treating investigator

          -  Unwilling or unable to follow protocol requirements