Inclusion Criteria:

          -  Has an HCC diagnosis confirmed by radiology, histology, or cytology (fibrolamellar and
             mixed hepatocellular/cholangiocarcinoma subtypes are not eligible)

          -  Has Barcelona Clinic Liver Cancer (BCLC) Stage C disease, or BCLC Stage B disease not
             amenable to locoregional therapy or refractory to locoregional therapy, and not
             amenable to a curative treatment approach

          -  Has a Child-Pugh class A liver score within 7 days prior to first dose of study
             intervention

          -  Has a predicted life expectancy of >3 months

          -  Has at least 1 measurable HCC lesion based on RECIST 1.1, confirmed by BICR

          -  Has an Eastern Cooperative Oncology Group Performance Score (ECOG PS) of 0 to 1 within
             7 days prior to first dose of study intervention

          -  Participants with controlled hepatitis B will be eligible as long as they meet the
             following criteria: antiviral therapy for Hepatitis B virus (HBV) must be given for at
             least 4 weeks and HBV viral load must be less than 500 IU/mL prior to first dose of
             study drug

          -  Has adequately controlled blood pressure with or without antihypertensive medications

          -  Has adequate organ function

        Exclusion Criteria:

          -  Has had esophageal or gastric variceal bleeding within the last 6 months.

          -  Has bleeding or thrombotic disorders or use of factor X inhibitors or anticoagulants
             requiring therapeutic international normalized ratio (INR) monitoring, e.g., warfarin
             or similar agents

          -  Has clinically apparent ascites on physical examination

          -  Has inferior vena cava or cardiac involvement of HCC based on imaging

          -  Has had clinically diagnosed hepatic encephalopathy in the last 6 months unresponsive
             to therapy

          -  Has medical contraindications that preclude all forms of contrast-enhanced imaging
             (computed tomography [CT] or magnetic resonance imaging [MRI])

          -  Has gastrointestinal malabsorption, gastrointestinal anastomosis, or any other
             condition that might affect the absorption of lenvatinib

          -  Has a preexisting Grade ≥3 gastrointestinal or non-gastrointestinal fistula

          -  Has clinically active hemoptysis (bright red blood of a least 0.5 teaspoon) within 3
             weeks prior to the first dose of study drug

          -  Has clinically significant cardiovascular impairment within 12 months of the first
             dose of study intervention, including New York Heart Association (NYHA) Class III or
             IV congestive heart failure, unstable angina, myocardial infarction, cerebral vascular
             accident, or cardiac arrhythmia associated with hemodynamic instability

          -  Has had major surgery to the liver within 4 weeks prior to the first dose of study
             intervention

          -  Has had a minor surgery (i.e., simple excision) within 7 days prior to the first dose
             of study intervention (Cycle 1 Day 1)

          -  Has serious nonhealing wound, ulcer, or bone fracture

          -  Has received any systemic chemotherapy, including anti- vascular endothelial growth
             factor (VEGF) therapy, or any systemic investigational anticancer agents for treatment
             of HCC

          -  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 coinhibitory T-cell receptor

          -  Has received locoregional therapy to liver within 4 weeks prior to the first dose of
             study intervention

          -  Has received prior radiotherapy to a non-liver region within 2 weeks of start of study
             intervention

          -  Has received a live or live-attenuated vaccine within 30 days before the first dose of
             study drug

          -  Is 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

          -  Has a 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 intervention

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

          -  Has a known history of, or any evidence of, central nervous system (CNS) metastases
             and/or carcinomatous meningitis as assessed by local site investigator

          -  Has severe hypersensitivity (≥Grade 3) to study intervention and/or any of their
             excipients

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

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

          -  Has an active infection requiring systemic therapy, with the exception of HBV or
             Hepatitis C virus (HCV)

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

          -  Has dual active HBV infection (HBsAg (+) and /or detectable HBV DNA) and HCV infection
             (anti-HCV antibody [Ab] positive and detectable HCV RNA) at study entry

          -  Has a history or current evidence of any condition, therapy, or laboratory abnormality
             that might confound the results of the study, interfere with the participant's
             participation for the full duration of the study, or is not in the best interest of
             the participant to participate, in the opinion of the treating investigator

          -  Has a known psychiatric or substance abuse disorder that would interfere with the
             participants ability to cooperate with the requirements of the study

          -  Has had an allogenic tissue/solid organ transplant