Inclusion Criteria:

          -  Has histologically or cytologically confirmed diagnosis of extensive-stage small cell
             lung cancer (ES-SCLC) in need of first-line therapy

          -  Has ES-SCLC defined as Stage IV (T any, N any, M1a/b/c) by the American Joint
             Committee on Cancer, Eighth Edition

          -  Male participants are eligible to participate if they agree to the following during
             the intervention period and for at least the time needed to eliminate each study
             intervention after the last dose of study intervention. The length of time required to
             continue contraception for each study intervention is as follows: Lenvatinib (7 days);
             Etoposide, Cisplatin, or Carboplatin (180 days) and Pembrolizumab, MK-4830, or MK-5890
             (no contraception measures); refrain from donating sperm plus either be abstinent from
             heterosexual intercourse as their preferred and usual lifestyle (abstinent on a
             long-term and persistent basis) and agree to remain abstinent or must agree to use
             contraception per protocol unless confirmed to be azoospermic

          -  A female participant is eligible to participate if she is not pregnant or
             breastfeeding, and at least one of the following conditions applies: Is not a
             woman/women of childbearing potential (WOCBP) or is a WOCBP and using a contraceptive
             method that is highly effective with low user dependency or be abstinent from
             heterosexual intercourse as their preferred and usual lifestyle (abstinent on a
             long-term and persistent basis), during the intervention period and for at least the
             time needed to eliminate each study intervention after the last dose of study
             intervention and agrees not to donate eggs to others or freeze/store for her own use
             for the purpose of reproduction during this period. The length of time required to
             continue contraception for each study intervention is as follows: Lenvatinib (30
             days), Etoposide, Cisplatin, or Carboplatin (180 days), and Pembrolizumab, MK-4830, or
             MK-5890 (120 days)

          -  A WOCBP must have a negative highly sensitive pregnancy test (urine or serum as
             required by local regulations) within 24 hours before the first dose of study
             intervention

          -  Has measurable disease per RECIST 1.1 as assessed by local site investigator/radiology
             and verified by blinded independent central review (BICR)

          -  Submits an archival tumor tissue sample or newly obtained core, incisional, or
             excisional biopsy of a tumor lesion not previously irradiated where such sample exist

          -  Has an Eastern Cooperative Oncology Group (ECOG) performance status of 0 or 1 assessed
             within 7 days before randomization

          -  Has adequate organ function within 10 days before the first dose of study intervention

          -  Has adequately controlled blood pressure (BP) with or without antihypertensive
             medications, defined as BP ≤150/90 mm Hg with no changes in antihypertensive
             medications within 1 week before randomization

        Exclusion Criteria:

          -  Has had major surgery within 3 weeks before first dose of study interventions

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

          -  Has urine protein ≥1 g/24 hours

          -  Has a left ventricular ejection fraction (LVEF) below the institutional (or local
             laboratory) normal range, as determined by multiple gated acquisition (MUGA) or
             echocardiogram (ECHO)

          -  Prolongation of QT interval with Fridericia's correction (QTcF) interval to >480 ms

          -  Has clinically significant cardiovascular disease or major arterial thromboembolic
             event within 12 months before first dose of study intervention, including New York
             Heart Association Class III or IV congestive heart failure, unstable angina,
             myocardial infarction, cerebral vascular accident, or cardiac arrhythmia associated
             with hemodynamic instability

          -  Has active hemoptysis within 3 weeks before the first dose of study intervention

          -  Has gastrointestinal malabsorption or any other condition that might affect oral study
             intervention absorption

          -  Has serious nonhealing wound, ulcer, or bone fracture within 28 days before first dose
             of study intervention

          -  Has any major hemorrhage or venous thromboembolic events within 3 months before the
             first dose of study intervention. Participants with venous thrombosis diagnosed more
             than 3 months before the first dose of study intervention must be on stable doses of
             anticoagulants

          -  Has a history of inflammatory bowel disease

          -  Has a history of a gastrointestinal perforation within 6 months before the first dose
             of study intervention

          -  Is considered a poor medical risk due to a serious, uncontrolled medical disorder or
             nonmalignant systemic disease

          -  Has received prior therapy with an anti-programmed cell death 1 protein (anti-PD-1),
             anti-programmed cell death ligand 1 (anti-PD-L1), or anti programmed cell death ligand
             2 (anti-PD-L2) agent or with an agent directed to another stimulatory or coinhibitory
             T-cell receptor

          -  Has received prior treatment (chemotherapy, radiotherapy, or surgical resection)
             including investigational agents for SCLC

          -  Is expected to require any other form of antineoplastic therapy for SCLC, including
             radiation therapy, while on study

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

          -  Is currently participating in or has participated in a study of an investigational
             agent or has used an investigational device within 4 weeks before the first dose of
             study intervention

          -  Has radiographic evidence of encasement or invasion of a major blood vessel, or of
             intratumoral cavitation

          -  Has symptomatic ascites, pleural effusion, or pericardial effusion. A participant who
             is clinically stable following treatment for these conditions is eligible

          -  Has a diagnosis of immunodeficiency or is receiving chronic systemic steroid therapy
             (in dosing exceeding 10 mg daily of prednisone equivalent) 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 known active central nervous system (CNS) metastases and/or carcinomatous
             meningitis. Participants with brain metastases may participate only if they satisfy
             all of the following: a) Completed treatment at least 14 days before the first dose of
             study intervention b) Have no evidence of new or enlarging brain metastases confirmed
             by posttreatment repeat brain imaging performed at least 4 weeks after pretreatment
             brain imaging, and c) Are neurologically stable without the need for steroids for at
             least 7 days before the first dose of study intervention as per local site assessment.
             Participants with untreated brain metastases will be allowed if they are asymptomatic,
             the investigator determines there is no immediate CNS-specific treatment required,
             there is no significant surrounding edema, and the brain metastases are of 5 mm or
             less in size and 3 or fewer in number

          -  Has a history of severe hypersensitivity reaction to any study intervention and/or any
             of its 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 a known history of, or active, neurologic paraneoplastic syndrome

          -  Has an active infection requiring systemic therapy

          -  Has a known history of human immunodeficiency virus (HIV) infection and/or Hepatitis B
             virus infection or an active Hepatitis C infection

          -  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
             participant's ability to cooperate with the requirements of the study

          -  Has had an allogenic tissue/solid organ transplant