Inclusion Criteria:
* For Part 1: Individuals with a diagnosis of advanced or metastatic solid tumor exhausting all available standard of care therapy; Part 2: Individuals with histologically or cytologically confirmed metastatic or locally advanced NSCLC
* Have at least 1 injectable tumor
* Eastern cooperative oncology group (ECOG) performance status of grade 0 or 1
* A participant who can have children must have a negative pregnancy test before the first dose of study treatment and during the study
* Thyroid function laboratory values within normal range except for participants on thyroid hormone replacement therapy
Exclusion Criteria:
* Active disease involvement of the CNS (example, primary central nervous system tumors, metastases, leptomeningeal disease). Some exceptions are allowed
* Prior history of, or active, significant herpetic infections (example, herpetic keratitis or encephalitis) or active herpetic infections that require ongoing systemic anti-viral therapy
* Active infection or condition that requires treatment with systemic anti-infective agents (example, antibiotics, antifungals, or antivirals) within 7 days prior to the first dose of study treatment or chronic use of anti-infective agents
* History of solid organ or hematologic stem cell transplantation
* Known positive test result for human immunodeficiency virus (HIV) or other immunodeficiency syndrome
* History of allergy to protein-based therapies or history of any significant drug allergy (such as anaphylaxis, hepatotoxicity, or immune-mediated thrombocytopenia or anemia)