Inclusion Criteria:

          -  Participant must have an advanced solid tumor and must not be a candidate for surgical
             resection or other approved therapeutic regimen known to provide clinical benefit. For
             dose escalation, the participant may have been previously treated with a programmed
             cell death 1 (PD-I) targeting agent. For dose expansion, the participant must be
             PD-I/PD-L1 targeting agent naïve. For Part 2 budigalimab in combination with
             rovalpituzumab tesirine, the participant must have SCLC with progressive disease and
             have failed platinum containing therapy and be PD-1/PD-L1 targeting agent naïve. For
             Part 3 budigalimab in combination with venetoclax, the participant must have locally
             advanced or metastatic NSCLC and received 1 to 4 prior lines of therapy in the
             advanced or metastatic setting including 1 regimen that included a PD-1 or PD-L1
             targeting agent which was discontinued following disease progression. Participants who
             are naïve to treatment with a PD-1/PD-L1 targeting agent OR who have received more
             than 1 regimen containing a PD-1/PD-L1 targeting agent are NOT eligible for Part 3.

          -  Participant has an Eastern Cooperative Oncology Group (ECOG) Performance Status of 0
             to 2 for the monotherapy cohort and an ECOG 0 to 1 for budigalimab in combination with
             rovalpituzumab tesirine cohort (Part 2) and budigalimab in combination with venetoclax
             (Part 3).

          -  Participants have adequate bone marrow, renal, hepatic and coagulation function.

          -  Participants must have measurable or evaluable disease per Response Evaluation
             Criteria in Solid Tumors (RECIST) version 1.1 in the dose escalation portion of the
             trial. Participants in the expansion cohort must have measurable disease per RECIST
             version 1.1 or disease evaluable by assessment of tumor antigens. Participants
             enrolled in budigalimab in combination with venetoclax cohort (Part 3) must have
             measurable disease per RECIST version 1.1.

        Exclusion Criteria:

          -  Participant has received anticancer therapy including chemotherapy, immunotherapy,
             radiation therapy, biologic, small molecule, herbal therapy, or any investigational
             therapy within a period of 5 half-lives, prior to the first dose of budigalimab or
             Rovalpituzumab Tesirine or venetoclax.

          -  For budigalimab in combination with rovalpituzumab tesirine cohort (Part 2),
             participant must not have had prior exposure to Rovalpituzumab Tesirine or a
             pyrrolobenzodiazepine (PBD) based drug.

          -  Participant has unresolved adverse events greater than grade 1 from prior anticancer
             therapy except for alopecia.

          -  Current or prior use of immunosuppressive medication within 14 days prior to the first
             dose (with certain exceptions).

          -  History of primary immunodeficiency, bone marrow transplantation, chronic lymphocytic
             leukemia, solid organ transplantation, or previous clinical diagnosis of tuberculosis.

          -  Confirmed positive test results for human immunodeficiency virus (HIV), or
             participants with chronic or active hepatitis A, B or C. Participants who have a
             history of hepatitis B or C who have undetectable hepatitis B (HBV) DNA or hepatitis C
             (HCV) RNA after anti-viral therapy may be enrolled.

          -  Participant has known history or inflammatory bowel disease, pneumonitis, or known
             uncontrolled metastases to the central nervous system (CNS) (with certain exceptions).

          -  Participants with a history of or ongoing pneumonitis or interstitial lung disease are
             also excluded.

          -  For budigalimab plus venetoclax therapy (Part 3), participant must not receive a
             strong or moderate inducer or inhibitor of cytochrome P450 (CYP)3A within 7 days
             before first venetoclax dose.

          -  For budigalimab plus venetoclax therapy (Part 3), participants with a known
             gastrointestinal disorder (i.e.: malabsorption syndrome), complication (i.e.:
             dysphagia) or surgery that could make consumption or absorption of oral medication
             problematic are also excluded.

          -  All Cohorts: Participants with a history of Stevens-Johnson syndrome (SJS), Toxic
             epidermal necrolysis (TEN), or drug reaction with eosinophilia and systemic symptoms
             (DRESS)