For more information regarding Bristol-Myers Squibb Clinical Trial participation, please visit www.BMSStudyConnect.com Inclusion Criteria: - Histologically confirmed metastatic non-small cell lung cancer (NSCLC) of squamous (SQ) or non-squamous (NSQ) histology with Stage IV A/B (as defined by the 8th International Association for the Study of Lung Cancer Classification) or recurrent disease following multi-modal therapy for locally advanced disease - Eastern Cooperative Oncology Group (ECOG) performance status (PS) of less than or equal to 1 at screening and confirmed prior to randomization - Measurable disease by computed tomography (CT) or magnetic resonance resources (MRI) per response evaluation criteria in solid tumor version 1.1 (RECIST 1.1) criteria - No prior systemic anti-cancer treatment (including epidermal growth factor receptor (EGFR) and anaplastic lymphoma kinase (ALK) inhibitors) given as primary therapy for advanced or metastatic disease Exclusion Criteria: - Participants with EGFR, ALK, ROS-1, or known B-rapidly accelerated fibrosarcoma proto-oncogene (BRAF V600E) mutations that are sensitive to available targeted therapy - Untreated CNS metastases - Leptomeningeal metastases (carcinomatous meningitis) - Concurrent malignancy requiring treatment or history of prior malignancy active within 2 years prior to enrollment (ie, participants with a history of prior malignancy are eligible if treatment was completed at least 2 years before registration and the participant has no evidence of disease) - Prior treatment with an anti-programmed cell death protein 1 (PD-1), anti-programmed death-ligand 1 (PD-L1), anti-programmed death-ligand 2 (PD-L2), or anti-cytotoxic T-lymphocyte-associated protein 4 (CTLA-4) antibody, or any other antibody or drug specifically targeting T-cell co-stimulation or checkpoint pathways Other protocol-defined inclusion/exclusion criteria apply