Inclusion Criteria:  Male/female participants who are at least 18 years of age on the day of signing informed consent with histologically confirmed diagnosis of melanoma or RCC and untreated metastatic brain disease will be enrolled in this study.  Male participants: A male participant must agree to use a contraception as detailed in the protocol during the treatment period and for at least 120 days after the last dose of study treatment and refrain from donating sperm during this period.  Female participants: A female participant is eligible to participate if she is not pregnant, not breastfeeding, and at least one of the following conditions applies:  Not a woman of childbearing potential (WOCBP) OR A WOCBP who agrees to follow the contraceptive guidance per protocol during the treatment period and for at least 120 days after the last dose of study treatment. The participant (or legally acceptable representative if applicable) provides written informed consent for the trial. Have histologic or cytologic confirmation from any body site of metastatic melanoma irrespective of BRAF mutation status or renal cell carcinoma irrespective of histologic subtype.  Patients who have had prior resection or biopsy of a CNS and/or extracranial metastasis will be required to provide a formalin-fixed, paraffin embedded (FFPE) specimen from tumor taken at the time of surgery, if available. Fresh biopsies of a metastatic lesion should be performed if clinically able.  Note: Participants are not required to have new or repeat brain metastasis biopsies for enrollment on the trial.  Note: For those who have never had CNS brain metastasis biopsies, tissue of an accessible extracranial lesion will be obtained pre-treatment, unless deemed not possible by the treating physician and upon discussion with PI. In this case, archival extracranial metastatic tissue will be suitable.  Have at least one brain metastasis that is at least 5 mm AND twice the MRI slice thickness, but less than or equal to 3 cm, which is asymptomatic, has not been previously radiated, and is not requiring immediate local therapy or steroids. Lesions situated in a previously irradiated area are considered allowed if measurable per the aforementioned criteria and if progression has been demonstrated. Patients with any lesion(s) >3 cm can be enrolled provided the following: (1) the lesion must receive local treatment prior to initiation of study drugs (either by stereotactic radiosurgery or resection), (2) the patient is not symptomatic from the lesion(s) once local therapy has been administered, and (3) at least one additional, non-treated lesion between 5 mm and 3 cm is still present. Prior treatment for either the Melanoma or RCC cohorts may include: Patients must have received at least 2 doses of an anti-PD-1/PD-L1 drug at some point in their treatment course. Any number of prior treatments including PD-1/PD-L1 inhibitors are allowed. Anti-PD-1/PD-L1 does not have to be the most recent therapy. Patients with melanoma who developed brain metastasis within 6 months of the last dose of adjuvant anti-PD-1 can be enrolled. Life expectancy of at least 3 months. A history of radiotherapy for brain metastases is allowed up to 1 week before study treatment provided that neurologic sequelae are resolved, and that measurable untreated target lesion(s) remain. Have an Eastern Cooperative Oncology Group (ECOG) performance status of 0 to 1. Evaluation of ECOG is to be performed within 7 days prior to the date of allocation.  Adequately controlled blood pressure (BP) with or without antihypertensive medications, defined as a systolic BP ≤150 or a diastolic BP ≤90 mmHg at screening and on Cycle 1 Day 1.  Note: Eligibility of a participant that is receiving ≥3 antihypertensive medications prior to study entry will require PI approval.  Have adequate organ function as defined in the protocol. Specimens must be collected within 10 days prior to the start of study treatment.  Exclusion Criteria:  Symptomatic melanoma or RCC brain metastases at the time of therapy initiation. Active use of corticosteroids to control CNS symptoms, unless steroid requirement has been decreasing and currently on ≤10 mg of prednisone or its equivalent without CNS symptoms for 7 days or more. Overt hemorrhage from CNS metastases. Presence of leptomeningeal disease. Unable to undergo MRI imaging (either due to such conditions as inability to lie flat for the scan duration, incompatible medical devices at risk for malfunction, and foreign metal objects that pose a safety risk for imaging). A WOCBP who has a positive urine pregnancy test within 72 hours prior to allocation. If the urine test is positive or cannot be confirmed as negative, a serum pregnancy test will be required.  Has received anti-cancer therapy including investigational agents within 14 days prior to allocation or less than 4 weeks from prior immunomodulating antibody (excluding anti-PD1/PD-L1).  Note: Participants must have recovered from all AEs due to previous therapies to ≤Grade 1 or baseline. Participants with ≤Grade 2 neuropathy, rash, and/or alopecia may be eligible.  Note: If participant received major surgery, they must have recovered adequately from the toxicity and/or complications from the intervention prior to starting study treatment.  Has received prior CNS radiotherapy within 1 week of start of study treatment. Participants must have recovered from all radiation-related toxicities and not require corticosteroids. Has received a live vaccine within 30 days prior to the first dose of study drug. Examples of live vaccines include, but are not limited to, the following: measles, mumps, rubella, varicella/zoster (chicken pox), yellow fever, rabies, Bacillus Calmette-Guérin (BCG), and typhoid vaccine. Seasonal influenza vaccines for injection are generally killed virus vaccines and are allowed; however, intranasal influenza vaccines (eg, FluMist®) are live attenuated vaccines and are not allowed.  Is currently participating in or has participated in a study of an investigational agent or has used an investigational device within 4 weeks prior to the first dose of study treatment.  Note: Participants who have entered the follow-up phase of an investigational study may participate as long as it has been 4 weeks after the last dose of the previous investigational agent.  Has a diagnosis of immunodeficiency or is receiving chronic systemic steroid therapy (in doses exceeding 10 mg daily of prednisone equivalent) or any other form of immunosuppressive therapy within 7 days prior to the first dose of study drug. Has a known additional malignancy that is progressing or is requiring active treatment. Has active autoimmune disease that has required systemic treatment in the past 3 months or a documented history of clinical severe autoimmune disease, or a syndrome that requires chronic systemic steroids or immunosuppressive agents. Replacement therapy (eg., thyroxine, insulin, or physiologic corticosteroid replacement therapy for adrenal or pituitary insufficiency with prednisone < 10 mg or the equivalent, etc.) is not considered a form of systemic treatment. Subjects with thyroid disease or vitiligo will not be excluded from the study. Has presence of gastrointestinal condition including malabsorption, gastrointestinal anastomosis, or any other condition that might affect the absorption of lenvatinib. Has a pre-existing Grade ≥3 gastrointestinal or non-gastrointestinal fistula. Serious non-healing or dehiscing wound. Has radiographic evidence of major blood vessel invasion/infiltration. The degree of tumor invasion/infiltration of major blood vessels should be considered because of the potential risk of severe hemorrhage associated with tumor shrinkage/necrosis following lenvatinib therapy. Has clinically significant hemoptysis or tumor bleeding within 2 weeks prior to the first dose of study drug.  Has clinically significant cardiovascular disease within 6 months of the 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.  Note: Medically controlled arrhythmia is permitted.  Has prolongation of QTc interval (calculated using Fridericia's formula) to >480 msec. New York Heart Association congestive heart failure of grade II or above, unstable angina, myocardial infarction within the past 6 months, or serious cardiac arrhythmia associated with significant cardiovascular impairment within the past 6 months. Has urine protein ≥2 g/24-hour. Note: Participants with >1+ proteinuria on urine dipstick will undergo 24-hour urine collection for quantitative assessment of proteinuria. Evidence of a bleeding diathesis, risk for severe hemorrhage, or clinically significant coagulopathy. Uncontrolled hypertension (systolic BP >150 mmHg or diastolic BP >90 mmHg) in spite of an optimized regimen of antihypertensive medication. Has a history of (non-infectious, non-radiation-induced) pneumonitis not responsive to steroids or has current pneumonitis. Patients will also be excluded if there are respiratory issues including active infection or require supplemental oxygen for activities of daily living. Has an active infection requiring systemic therapy. Has a known history of Human Immunodeficiency Virus (HIV).  Has a known history of Hepatitis B (defined as Hepatitis B surface antigen [HBsAg] reactive) or known active Hepatitis C virus (defined as a detectable qualitative HCV RNA level) infection.  Note: No testing for Hepatitis B and Hepatitis C is required unless mandated by local health authority.  Has a history or current evidence of any condition, therapy, or laboratory abnormality that might confound the results of the study, interfere with the subject's participation for the full duration of the study, or is not in the best interest of the subject to participate, in the opinion of the treating investigator. Has known psychiatric or substance abuse disorders that would interfere with cooperation with the requirements of the trial. Is pregnant or breastfeeding or expecting to conceive or father children within the projected duration of the study, starting with the screening visit through 120 days after the last dose of trial treatment. Women of child-bearing potential who are unwilling to or unable to use an acceptable method of contraception to avoid pregnancy for the entire study and for at least 5 months after cessation of study drug or have a positive pregnancy test at screening or baseline, or who are pregnant or breast feeding.