Inclusion Criteria:

          -  Histologically or cytologically confirmed, Stage IIIB-IIIC or Stage IV non-squamous
             NSCLC that is not suitable for radical surgery or radiation therapy.

          -  A RET gene fusion in tumor and/or blood from a qualified laboratory.

          -  Eastern Cooperative Oncology Group (ECOG) performance status of 0-2.

          -  Adequate hematologic, hepatic and renal function.

          -  Willingness of men and women of reproductive potential to observe conventional and
             highly effective birth control for the duration of treatment and for 6 months after.

          -  Ability to swallow capsules.

        Exclusion Criteria:

          -  Additional validated oncogenic drivers in NSCLC if known.

          -  Prior systemic therapy for metastatic disease. Treatment (chemotherapy, immunotherapy,
             or biological therapy) in the adjuvant/neoadjuvant setting is permitted if it was
             completed at least 6 months prior to randomization.

          -  Major surgery within 3 weeks prior to planned start of selpercatinib.

          -  Radiotherapy for palliation within 1 week of the first dose of study treatment or any
             radiotherapy within 6 months prior to the first dose of study treatment if more than
             30 Gy to the lung.

          -  Symptomatic central nervous system (CNS) metastases, carcinomatous meningitis, or
             untreated spinal cord compression.

          -  Clinically significant active cardiovascular disease or history of myocardial
             infarction within 6 months prior to planned start of selpercatinib or prolongation of
             the QT interval corrected for heart rate using Fridericia's formula (QTcF) > 470
             milliseconds.

          -  Active uncontrolled systemic bacterial, viral, or fungal infection or serious ongoing
             intercurrent illness, such as hypertension or diabetes, despite optimal treatment.

          -  Clinically significant active malabsorption syndrome or other condition likely to
             affect gastrointestinal absorption of the study drug.

          -  Pregnancy or lactation.

          -  Other malignancy unless nonmelanoma skin cancer, carcinoma in situ of the cervix or
             other in situ cancers or a malignancy diagnosed ≥2 years previously and not currently
             active.

          -  Uncontrolled, disease related pericardial effusion or pleural effusion.

          -  Requiring chronic treatment with steroids.

        Exclusion Criteria for Participants Receiving Pembrolizumab:

          -  History of interstitial lung disease or interstitial pneumonitis.

          -  Active autoimmune disease or any illness or treatment that could compromise the immune
             system.