Inclusion Criteria:

          -  Has histologically-confirmed diagnosis of non-muscle invasive (T1, high grade Ta
             and/or CIS) UC of the bladder

          -  Has undergone cystoscopy/ transurethral resection of bladder tumor (TURBT) to remove
             all resectable disease

          -  Has provided tissue for biomarker analysis

          -  Has Eastern Cooperative Oncology Group (ECOG) performance status of 0, 1 or 2

          -  Has adequate organ function

          -  During the treatment period and for ≥7 days after the last dose of BCG, male
             participants are EITHER abstinent from heterosexual intercourse as their preferred and
             usual lifestyle and agree to remain abstinent, OR, must agree to use contraception
             unless confirmed to be azoospermic

          -  Female participants who are not pregnant, not breastfeeding, and either not a woman of
             child bearing potential (WOCBP); or are a WOCBP who agrees to use a contraception
             method that is highly effective or remains abstinent from heterosexual intercourse
             during the treatment period and for ≥7 days after the last dose of BCG or 120 days
             after the last dose of pembrolizumab, whichever comes last

        BCG Post-induction Cohort (Cohort A) Only

          -  Has been treated with one adequate course of BCG induction therapy for the treatment
             of HR NMIBC

          -  Following adequate BCG induction therapy, must have persistent or recurrent HR NMIBC

        Exclusion Criteria:

          -  Has a history of or concurrent locally advanced (i.e., T2, T3, T4) or metastatic UC

          -  Has concurrent extra-vesical (ie, urethra, ureter, renal pelvis) non-muscle invasive
             urothelial carcinoma or invasive prostatic UC

          -  Has received prior therapy with anti-PD-1, anti-PD-L1, or anti-PD-L2 agent or with an
             agent directed to another stimulatory or co-inhibitory T-cell receptor

          -  Has received prior systemic anti-cancer therapy including investigational agents
             within 4 weeks of start of study treatment

          -  Is currently participating in or has participated in a study of an investigational
             agent or has used an investigational device within 4 weeks of start of study treatment

          -  Has a diagnosis of immunodeficiency or is receiving chronic systemic steroid therapy
             or any other form of immunosuppressive therapy within 7 days of start of study
             treatment

          -  Has a known additional malignancy that is progressing or requires active treatment
             within the past 3 years

          -  Has an active autoimmune disease that has required systemic treatment in past 2 years

          -  Has a history of (non-infectious) pneumonitis/interstitial lung disease that required
             steroids or has current pneumonitis/interstitial lung disease

          -  Has one or more of the following contraindications to BCG: prior BCG sepsis or
             systemic infection, total bladder incontinence, or an adverse experience to a previous
             BCG instillation that resulted in treatment discontinuation and precludes retreating
             with BCG

          -  Has an active infection requiring systemic therapy

          -  Has a known history of human immunodeficiency virus (HIV) infection

          -  Has a known history of Hepatitis B or known active Hepatitis C virus infection

          -  Has current active tuberculosis

          -  Has had an allogenic-tissue/solid organ transplant

          -  Has any contraindication(s) to IV contrast or is otherwise unable to have computed
             tomography urothelial (CTU) imaging with IV contrast performed

        BCG Post-induction Cohort (Cohort A) Only - Has persistent T1 disease following an
        induction course of BCG

        BCG Naïve Cohort (Cohort B) Only

        - Has received any prior treatment with BCG for their NMIBC within the past 2 years prior
        to study entry