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