A Study of the Combination of Necitumumab (LY3012211) and Pembrolizumab (MK3475) in Participants With NSCLC

Inclusion Criteria: * The participant has Stage IV NSCLC. * Part A: NSCLC Stage IV (any type) * Part B: NSCLC Stage IV (squamous and nonsquamous) * Part C: NSCLC Stage IV in Japanese participants (squamous and nonsquamous) * The participant must have progressed after 1 platinum-based chemotherapy regimen for Stage IV NSCLC. Prior therapy with VEGF/VEGFR targeting agents is permitted. Prior neoadjuvant/adjuvant therapy is permitted. Prior treatment with EGFR-TKI and ALK inhibitors is mandatory in participants with NSCLC whose tumor has EGFR-activating mutations or ALK translocations, respectively. * Measurable disease at the time of study entry as defined by Response Evaluation Criteria In Solid Tumors Version 1.1 (RECIST 1.1). * The participant has evaluable tumor tissue available for biomarker analyses. * The participant has adequate organ function. * Eastern Cooperative Oncology Group performance status (ECOG PS) score of 0-1. Exclusion Criteria: * The participant is currently enrolled in a clinical trial involving an investigational product or non-approved use of a drug or device. * Prior treatment with an anti-PD-1, anti-PD-L1, anti-PD-L2 monoclonal antibody. * Have a serious concomitant systemic disorder or significant cardiac disease. * The participant has undergone major surgery or received anti-cancer monoclonal antibody therapy in the 30-days prior to study enrollment. * The participant has undergone chest irradiation within 2 weeks prior to receiving study treatment. * The participant has brain metastases that are symptomatic. * The participant has a history of arterial thromboembolism event (ATE) or venous thromboembolism event (VTE) within 3 months prior to study enrollment. Participants with history of VTE beyond 3 months prior to study enrollment can be enrolled if they are appropriately treated with low molecular weight heparin. * The participant has a known allergy / history of hypersensitivity reaction to any of the treatment components, including any ingredient used in the formulation of necitumumab or pembrolizumab, or any other contraindication to one of the administered treatments. * The participant has a concurrent active malignancy. Previous history of malignancy is permitted, provided that the participant has been free of disease for ≥3 years, with the exception of adequately treated basal or squamous cell carcinoma of the skin, preinvasive carcinoma of the cervix, or any cancers that in the judgment of the investigator and sponsor may not affect the interpretation of results (for example, prostate, bladder). * History of interstitial lung disease, pneumonitis, autoimmune disease or syndrome that requires steroids or immunosuppressive agents. * The participant has active infection requiring systemic therapy, including active tuberculosis or known history of infection with the human immunodeficiency virus (HIV 1/2 antibodies), or hepatitis B (e.g., HBsAg reactive) and/or C virus (e.g., HCV RNA \[qualitative\] is detected). * The participant has an active autoimmune disease or a documented history of autoimmune disease, or a syndrome that requires systemic steroids or immunosuppressive agents. * The participant has received a live vaccine within 30 days prior to the first dose of trial treatment.