For more information regarding Bristol-Myers Squibb Clinical Trial participation, please visit www.BMSStudyConnect.com Inclusion Criteria: - Confirmed stage IV or recurrent EGFR mutated NSCLC with disease progression on one or two prior lines of treatment with EGFR TKIs (allowed TKIs must be approved by the local health authority, including but not limited to erlotinib, gefitinib, afatinib, dacomitinib and osimertinib). - No evidence of exon 20 T790M mutation obtained at progression on prior first- or second-generation EGFR TKI therapy. - Measurable disease according to Response Evaluation Criteria in Solid Tumors version 1.1 (RECIST 1.1) - Available tumor sample for Programmed death-ligand 1 (PD-L1) immunohistochemical (IHC). For participants who were treated with osimertinib, T790M testing is not required. - Participants are eligible if central nervous system (CNS) metastases are considered to be adequately controlled/treated before or during the screening period and participants are neurologically returned to baseline (except for residual signs or symptoms related to the CNS treatment) for at least 2 weeks prior to randomization. In addition, participants must be either off corticosteroids, or on a stable or decreasing dose of ≤10 mg daily prednisone (or equivalent) for at least 2 weeks prior to randomization). Participants with asymptomatic CNS metastasis are eligible. - Eastern Cooperative Group (ECOG) Performance Status 0-1 - Life expectancy is at least 3 months Exclusion Criteria: - Known EGFR mutation, T790M positive who failed 1L first- or second-generation TKI should receive osimertinib first as the standard of care (SOC). These participants are only eligible if they fail osimertinib as 2L. - who have progressed within 3 months of the first dose of 1L or 2L EGFR TKI. - Carcinomatous meningitis - Active, known or suspected autoimmune disease are excluded - ALK translocation - Known SCLC transformation - Prior treatment with an anti-PD-1, anti-PD-L1, anti-PD-L2, anti-CD137, or anti-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