Inclusion Criteria:

        (Participants must meet all the following to be eligible)

          -  Participants with histologically or cytologically confirmed advanced or metastatic
             solid tumors.

          -  Have measurable disease per RECIST v1.1.

          -  Participants enrolling in the Phase 1b and Arms I, IV, and V of the Phase 2a must have
             biopsiable disease.

          -  Female participants who are either postmenopausal for at least 1 year, are surgically
             sterile for at least 6 weeks; female participants of childbearing potential must agree
             to remain abstinent (refrain from heterosexual intercourse) or to use dual methods of
             contraception for the duration of study treatment and for 120 days after the last dose
             of study treatment (pembrolizumab and/or NT-I7).

          -  Non-sterile male participants who are sexually active with female partners of
             childbearing potential must agree to remain abstinent (refrain from heterosexual
             intercourse) or to use highly effective method(s) of contraception for the duration of
             study treatment and for 120 days after the last dose of study treatment (pembrolizumab
             and/or NT-I7).

          -  Meet the requirements for the intended stages and arms (disease specific inclusion
             criteria), as following:

        Applicable to the Dose escalation phase (Phase 1b) only: (Biopsy Arm)

          -  Relapsed/refractory advanced solid tumors.

        Applicable to the Dose expansion phase (Phase 2a) only:

        Anti-PD-1/anti-PD-L1 refractory criteria for CPI-treated TNBC, NSCLC, and SCLC

          -  Has received at least 2 doses of an approved anti-PD-1/anti-PD-L1 monoclonal antibody
             (mAb).

          -  Has demonstrated disease progression after anti-PD-1/anti-PD-L1.

        Specific to Arm I: CPI-treated R/R TNBC (Biopsy Arm)

          -  Histopathologic or cytologic documented TNBC.

          -  Received one or more prior therapies for TNBC in the advanced or metastatic setting,
             and prior treatment (for advanced, metastatic or (neo) adjuvant).

        Specific to Arm II: CPI-treated R/R NSCLC

          -  Had prior treatment with CPI. Participants with estimated glomerular filtration rate
             (EGFR), BRAF, or c-ros oncogene 1(ROS1) mutations or anaplastic lymphoma kinase (ALK)
             translocations are required to have received prior therapy with the appropriate
             tyrosine kinase inhibitor (TKI).

        Specific to Arm III: CPI-treated R/R SCLC

          -  Recurrent extensive-stage SCLC; Received prior CPI therapy.

        Specific to Arm IV: CPI-naïve R/R MSS-CRC (Biopsy Arm)

          -  MSS-CRC (categorized as MSS by immunohistochemistry(IHC) or polymerase chain reaction
             (PCR).

          -  Previously treated with standard therapies, which must include fluoropyrimidine,
             oxaliplatin, and irinotecan; participants treated with CPI are not eligible.

        Specific to Arm V: CPI-naïve R/R Pancreatic Cancer (Biopsy Arm)

          -  Have documented radiographic progression to or documented in tolerance of first line
             systemic chemotherapy which included either gemcitabine or Fluorouracil (5-FU)-based
             regimen (including capecitabine);participants treated previously with CPI are not
             eligible.

        Exclusion Criteria:

          -  Pregnant, lactating or breastfeeding.

          -  Receiving any investigational therapy or any approved therapy for investigational use
             within 30 days or 5 half-lives.

          -  Has known active central nervous system (CNS) metastases and/or carcinomatous
             meningitis. Participants with previously treated brain metastases may participate if
             stable.

          -  Participants who have received treatment with systemic immunosuppressive medications.

          -  Has a history of non-infectious pneumonitis that required steroids or current
             pneumonitis.

          -  Has had an allogenic tissue/solid organ transplant or bone marrow transplant.

          -  Has received prior therapy with an 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 (e.g.,
             CTLA-4, OX-40, CD137) and was discontinued from that treatment due to a Grade 3 or
             higher Immune related adverse event (irAE).