Inclusion Criteria:  Has a histologically or cytologically confirmed diagnosis of metastatic squamous cell carcinoma of the esophagus Male participants are abstinent from heterosexual intercourse or agree to use contraception during the intervention period and for at least 7 days after the last dose of lenvatinib or 90 days after the last dose of chemotherapy, whichever comes last; 7 days after lenvatinib is stopped, if the participant is on pembrolizumab only and is greater than 90 days post chemotherapy, no male contraception is needed Female participant is not pregnant or breastfeeding and is not a woman of childbearing potential (WOCBP) or is a WOCBP using a contraceptive method that is highly effective or is abstinent from heterosexual intercourse as their preferred and usual lifestyle during the intervention period and for at least 120 days after the last dose of pembrolizumab, 30 days after the last dose of lenvatinib, or 180 days after the last dose of chemotherapy, whichever occurs last, and agrees not to donate eggs during this period Has adequately controlled blood pressure (BP) with or without antihypertensive medications, defined as BP≤150/90 millimeters of mercury (mm Hg) with no change in antihypertensive medications within 1 week prior to randomization Has adequate organ function  Exclusion Criteria:  Has had previous therapy for locally advanced unresectable or metastatic esophageal cancer Has locally advanced esophageal carcinoma Has metastatic adenocarcinoma of the esophagus Has direct invasion into adjacent organs such as the aorta or trachea Has radiographic evidence of encasement of a major blood vessel, or of intratumoral cavitation Has perforation risks or significant gastrointestinal (GI) bleeding Has had clinically significant hemoptysis within 3 weeks prior to the first dose of study drug or tumor bleeding within 2 weeks prior to the first dose of study intervention Has uncontrollable pleural effusion, pericardial effusion, or ascites requiring frequent drainage or medical intervention Has GI obstruction, poor oral intake, difficulty in taking oral medication, or existing esophageal stent Has had major surgery, open biopsy, or significant traumatic injury within 3 weeks prior to first dose of study interventions Has received prior radiotherapy within 2 weeks of start of study intervention Has received a live or live attenuated vaccine within 30 days prior to the first dose of study intervention; administration of killed vaccines is allowed Has a diagnosis of immunodeficiency or is receiving chronic systemic steroid therapy or any form of immunosuppressive therapy within 7 days prior to the first dose of study intervention, or has a history of organ transplant, including allogeneic stem cell transplant 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 Has an active autoimmune disease that has required systemic treatment in past 2 years; replacement therapy is not considered a form of systemic treatment and is allowed Has a history of non-infectious pneumonitis/interstitial lung disease that required steroids or current pneumonitis/interstitial lung disease Has poorly controlled diarrhea Has clinically significant cardiovascular disease within 12 months from first dose of study intervention Has peripheral neuropathy ≥Grade 2 Has a known history of human immunodeficiency virus (HIV) infection Has a known history of Hepatitis B or know active Hepatitis C virus infection Has a weight loss of >20% within the last 3 months