In this paper, a multichannel speech enhancement system which adopts a denoising auto-encoder as part of the beamformer is proposed. The proposed structure of the generalized sidelobe canceller generates enhanced multi-channel signals, instead of merely one channel, to which the following denoising auto-encoder can be applied. Because the beamformer exploits spatial information and compensates for differences in the transfer functions of each channel, the proposed system is expected to resolve the difficulty of modelling relative transfer functions consisting of complex numbers which are hard to model with a denoising auto-encoder. As a result, the modelling capability of the denoising auto-encoder can concentrate on removing the artefacts caused by the beamformer. Unlike conventional beamformers, which combine these artefacts into one channel, they remain separated for each channel in the proposed method. As a result, the denoising auto-encoder can remove the artefacts by referring to other channels. Experimental results prove that the proposed structure is effective for the six-channel data in CHiME, as indicated by improvements in terms of speech enhancement and word error rate in automatic speech recognition.