Baikal-GVD is a neutrino telescope currently under construction in Lake Baikal. GVD is formed by multi-megaton subarrays (clusters). The design of Baikal-GVD allows one to search for astrophysical neutrinos already at early phases of the array construction. We present here preliminary results of a search for high-energy neutrinos with GVD in 2019-2020.