Tafasitamab Plus Lenalidomide in Relapsed CNS Lymphoma

Inclusion Criteria: 1. Participants must have relapsed primary or secondary CNS lymphoma, diffuse large B-cell lymphoma (DLBCL) type, based on radiographic, ophthalmologic, or CSF criteria (evidence of malignant cells based on CSF studies: cytospin/cytology and flow-cytometry). 1. Concomitant systemic lymphoma as well as transformation from follicular lymphoma and/or Chronic lymphocytic leukemia (CLL) to an aggressive B-cell histology is allowed. 2. Participants are eligible with disease in each CNS compartment: brain, leptomeninges/CSF and intraocular compartment. 2. Age \>= 18 years. 3. Anticipated survival \> 2 months, as determined by the investigator. 4. Eastern Cooperative Oncology Group (ECOG) performance status \<=1 (Karnofsky performance status \>= 70%) 5. Demonstrates adequate organ function as defined below: 1. Absolute neutrophil count (ANC) ≥ 1.5 X 10\^9/ L (1,500/ microliter (mcL), growth factors permitted). 2. Platelets \>= 50 X 10\^9 / L (50,000/ mcL, platelet transfusion independent). 3. Total bilirubin \<= 1.5 x institutional upper limit of normal,unless elevated due to Gilbert's syndrome. 4. Aspartate aminotransferase (AST)/serum glutamic-oxaloacetic transaminase (SGOT) \<=3 X institutional upper limit of normal. 5. Alanine aminotransferase (ALT)/serum glutamic-pyruvic transaminase (SGPT) \<=3 X institutional upper limit of normal. d. Creatinine clearance (CrCl, calculated) \>= 60 mL/min/1.73 m\^2, calculated using the Cockcroft-Gault equation. CrCl \> 60 mL/min/1.73 m2 is requisite for eligibility for the phase I dose-escalation phase of the study. 6. Ability to understand and the willingness to sign a written informed consent document. 7. For participants with evidence of chronic hepatitis B virus (HBV) infection, the HBV viral load must be undetectable on suppressive therapy, if indicated. If a HBV test comes up positive due to Intravenous immunoglobulin (IVIG) and the participant has no prior history of HBV, then perform a HBV Polymerase chain reaction (PCR) to confirm undetectable disease. 8. Individuals with a history of hepatitis C virus (HCV) infection must have been treated and cured. For individuals with HCV infection who are currently on treatment, they are eligible if they have an undetectable HCV viral load. 9. Individuals with a prior or concurrent malignancy whose natural history or treatment does not have the potential to interfere with the safety or efficacy assessment of the investigational regimen are eligible for this trial. 10. The effects of the study drugs on the developing human fetus are unknown. For this reason, and because the teratogenic effect of lenalidomide in humans cannot be ruled out, females of child-bearing potential (FCBP) and men must agree to use adequate contraception. FCBP must agree to undergo pregnancy testing as required in the study protocol. Should a woman become pregnant or suspect they are pregnant while their partner is participating in this study, they should inform her treating physician immediately. 11. Prior Therapies 1. Participants with CNS lymphoma involving the brain parenchyma must have received at least one prior systemic therapy. 2. Participants with secondary CNS lymphoma must have received prior CNS-directed treatment. 3. There is no limit in terms of prior lines of therapy received. Patients may have progressed after prior treatment with IMiD's (including lenalidomide, pomalidomide and CC122), patients may have had prior rituximab or other anti-CD20 based therapy as well as autologous and allogeneic stem cell transplant. Patients who progress after prior stem cell transplant are immediately eligible whereas patients that progress after anti-CD19-based therapy including CAR-T based therapy are not eligible. 12. Recipients of prior hematopoietic stem cell transplant are eligible as long as the following criteria are met: 1. Absence of graft versus host disease. 2. Discontinuation of systemic immunosuppressant therapy. Exclusion Criteria: 1. Has received systemic anti-cancer therapies within 2 weeks of first dose, radiation within 1 week, antibody therapy within 4 weeks. 2. Has not recovered from adverse events due to prior anti-cancer therapy to ≤ grade 1 or baseline (other than alopecia). 3. Is currently receiving any other investigational agents. 4. Has participated in a study of an investigational product and received study treatment or used an investigational device within four weeks of the first dose of treatment. 5. Has a history of HIV infection. 6. Has CNS post-transplant lymphoproliferative disease (PTLD). 7. Has known hypersensitivity to lenalidomide or Tafasitamab. 8. Pregnant women and women of child-bearing potential who will not using an effective method of birth control (detailed in Appendix 3) are excluded from this study because the study drugs have potential for teratogenic or abortifacient effects. Because there is an unknown but potential risk for adverse events in nursing infants secondary to treatment of the mother with lenalidomide and/or Tafasitamab, breastfeeding should be discontinued if the mother is treated with study drugs. 9. Prior receipt of anti-CD19 based therapy including anti-CD19, Chimeric antigen receptor T cells (CAR-T) therapy is an exclusion criteria. 10. Has any significant medical condition or comorbidity that could compromise patient safety (e.g., uncontrolled serious infection).