Inclusion Criteria:

          -  Diagnosis of Primary mediastinal B-cell lymphoma (PMBCL)

          -  Relapsed or refractory PMBCL and:

               -  Relapsed after auto-stem cell transplantation (SCT) or have failed to achieve a
                  CR or PR within 60 days of auto-SCT; or

               -  For participants who are ineligible for auto-SCT, has received at least ≥ 2 lines
                  of prior therapy and have failed to respond to or relapsed after their last line
                  of treatment. For participants who received consolidative local radiotherapy
                  after systemic therapy, local radiotherapy will not be considered as a separate
                  line of treatment.

          -  Previously exposed to rituximab as part of prior lines of treatment.

          -  Radiographically measurable disease

          -  Performance status of 0 or 1 on the Eastern Cooperative Oncology Group (ECOG)
             Performance Scale.

          -  Life expectancy ≥3 months.

          -  Adequate organ function.

          -  Male participants of childbearing potential must agree to use an adequate method of
             contraception, starting with the first dose of study drug through 120 days after the
             last dose of study drug, OR must be abstinent from heterosexual intercourse as their
             preferred and usual lifestyle (abstinent on a long term and persistent basis) and
             agree to remain abstinent.

          -  Female participants of childbearing potential must be willing to use an adequate
             method of contraception for the course of the study through 120 days after the last
             dose of study drug, OR must be abstinent from heterosexual intercourse as their
             preferred and usual lifestyle (abstinent on a long term and persistent basis) and
             agree to remain abstinent.

        Exclusion Criteria:

          -  Received prior therapy with an anti-PD-1 (programmed cell death protein 1), anti-PD-L1
             (programmed death-ligand 1), or anti-PD-L2 (programmed cell death 1 ligand 2), or with
             an agent directed to another stimulatory or co-inhibitory T-cell receptor (e.g.,
             CTLA-4 [cytotoxic T-lymphocyte-associated protein 4], OX 40, or CD137 [cluster of
             differentiation 137])

          -  Received chimeric antigen receptor (CAR) T-cell therapy.

          -  Prior monoclonal antibody or radiation therapy within 4 weeks prior to the first dose
             of study intervention; OR received prior chemotherapy or targeted small molecule
             therapy within 2 weeks prior to the first dose of study intervention; OR has not
             recovered from adverse events due to a previously administered agent above.
             Participants with ≤ Grade 2 neuropathy are an exception to this criterion and may
             qualify for the study.

          -  Major surgery within 3 weeks prior to first dose of study intervention.

          -  Received a live vaccine within 30 days prior to the first dose of study drug.

          -  Currently participating in or has participated in a study of an investigational agent
             or has used an investigational device within 4 weeks prior to the first dose of study
             intervention. Participants in the follow-up phase of an investigational study may
             participate as long as it has been 4 weeks after the last dose of the previous
             investigational agent.

          -  Diagnosis of immunodeficiency or is receiving chronic systemic steroid therapy or any
             other form of immunosuppressive therapy within 7 days prior the first dose of study
             drug.

          -  Known additional malignancy that is progressing or has required active treatment
             within the past 3 years. Exceptions include basal cell carcinoma of the skin, squamous
             cell carcinoma of the skin, or carcinoma in situ, that have undergone potentially
             curative therapy.

          -  Known active central nervous system (CNS) metastases and/or carcinomatous meningitis.

          -  Severe hypersensitivity (≥Grade 3) to pembrolizumab and/or any of its excipients.

          -  Active autoimmune disease that has required systemic treatment in past 2 years

          -  History of (non-infectious) pneumonitis that required steroids, or current
             pneumonitis.

          -  Active infection requiring systemic therapy.

          -  History of human immunodeficiency virus (HIV) or Hepatitis B.

          -  Active Hepatitis C virus infection.

          -  Known psychiatric or substance abuse disorder that would interfere with the
             participant's ability to cooperate with the requirements of the study.

          -  Pregnant or breastfeeding, or expecting to conceive or father children within the
             projected duration of the study, starting with the screening visit through 120 days
             after the last dose of study intervention.

          -  Allogeneic hematopoietic stem cell/solid organ transplantation within the last 5
             years.