Multi-messenger astronomy is a powerful tool to study the physical processes driving the non-thermal Universe. A combination of observations in cosmic rays, neutrinos, photons of all wavelengths and gravitational waves is expected. The alert system of the Baikal-GVD detector under construction will allow for a fast, on-line reconstruction of neutrino events recorded by the Baikal-GVD telescope and - if predefined conditions are satisfied - for the formation of an alert message to other communities. The preliminary results of searches for high-energy neutrinos in coincidence with GW170817/GRB170817A using the cascade mode of neutrino detection are discussed. Two Baikal-GVD clusters were operating during 2017. The zenith angle of NGC 4993 at the detection time of the GW170817 was 93.3 degrees. No events spatially coincident with GRB170817A were found. Given the non-detection of neutrino events associated with GW170817, upper limits on the neutrino fluence were established.