Software defined network (SDN) is considered as one of the most promising network architectures in the next generation mobile networks. SDN-enabled ultra dense network (UDN) has a simpler and more flexible network architecture, but its mobility management is still a challenging task. The major problem is the occurrence of frequent handover (FHO). Therefore, a SDN-enabled UDN architecture is firstly proposed to make the network more agile. Then, a deep Q-learning (DQN) method is used to control the handover (HO) procedure of the user equipments (UEs) by well capturing the characteristics of wireless signals/interferences and network load. In details, we use the SINR and the access rate per node to characterize the state of the UE. Thanks to the generalization ability of deep neural network (DNN), newly arrived UEs can use the trained neural network to avoid possible bad initial points. Experimental results show that the proposed scheme can reduce HO rate and guarantee the system throughput, which is better than the traditional HO scheme.