Study of Lenalidomide and Dexamethasone With or Without Pembrolizumab (MK-3475) in Participants With Newly Diagnosed Treatment Naive Multiple Myeloma (MK-3475-185/KEYNOTE-185)

Inclusion Criteria:

* Confirmed diagnosis of active multiple myeloma and measurable disease.
* Ineligible to receive treatment with auto-SCT due to age (≥65 years old) or any significant coexisting medical condition (cardiac, renal, pulmonary or hepatic dysfunction), likely to have a negative impact on tolerability of auto-SCT. Participants \<65 years of age who refuse auto-SCT are not eligible for this study.
* Eastern Cooperative Oncology Group (ECOG) Performance Status of 0 or 1.
* Female participants of childbearing potential must have 2 negative urine pregnancy tests (with a sensitivity of at least 25 Milli-international units/milliliter) within 10 to 14 days and within 24 hours prior to receiving study medication.
* Female participants of childbearing potential must agree to use adequate contraception 28 days prior to study start, continuing throughout the study, and for up to 28 days after the last dose of lenalidomide (or 120 days after the last dose of pembrolizumab).
* Male participants of childbearing potential must agree to use adequate contraception from the first dose of study medication, continuing throughout the study, and for up to 28 days after the last dose of lenalidomide (or 120 days after the last dose of pembrolizumab).

Exclusion Criteria:

* Has undergone prior allogeneic hematopoietic stem cell transplantation within the last 5 years.
* Has peripheral neuropathy ≥ Grade 2.
* Has a known additional malignancy that is progressing or requires active treatment within the last 5 years (except for basal cell carcinoma of the skin, squamous cell carcinoma of the skin, or in situ cervical cancer that has undergone potentially curative therapy).
* Has history of non-infectious pneumonitis that required steroids or current pneumonitis
* Has received prior therapy with an anti-programmed cell death 1 receptor (anti-PD-1), anti-programmed death-ligand 1 (anti-PD-L1), anti-PD-L2, anti-CD137, or anti-cytotoxic T-lymphocyte-associated antigen-4 (CTLA-4) antibody (including ipilimumab or any other antibody or drug specifically targeting T-cell co-stimulation or checkpoint pathways).
* Has a known Human Immunodeficiency Virus (HIV), or a known, active Hepatitis B (HBV), or a known, active Hepatitis C (HCV) infection.
* Is unable or unwilling to undergo thromboembolic prophylaxis including, as clinically indicated, aspirin, Coumadin (warfarin) or low-molecular weight heparin.
* Has lactose intolerance.
* Has an invasive fungal infection.