To achieve a high learning accuracy, generative adversarial networks (GANs) must be fed by large datasets that adequately represent the data space. However, in many scenarios, the available datasets may be limited and distributed across multiple agents, each of which is seeking to learn the distribution of the data on its own. In such scenarios, the local datasets are inherently private and agents often do not wish to share them. In this paper, to address this multi-agent GAN problem, a novel brainstorming GAN (BGAN) architecture is proposed using which multiple agents can generate real-like data samples while operating in a fully distributed manner and preserving their data privacy. BGAN allows the agents to gain information from other agents without sharing their real datasets but by "brainstorming" via the sharing of their generated data samples. Therefore, the proposed BGAN yields a higher accuracy compared with a standalone GAN model and its architecture is fully distributed and does not need any centralized controller. Moreover, BGANs are shown to be scalable and not dependent on the hyperparameters of the agents' deep neural networks (DNNs) thus enabling the agents to have different DNN architectures. Theoretically, the interactions between BGAN agents are analyzed as a game whose unique Nash equilibrium is derived. Experimental results show that BGAN can generate real-like data samples with higher quality compared to other distributed GAN architectures.