Optical coherence tomography (OCT) enables the non-invasive acquisition of high-resolution three-dimensional cross-sectional images at micrometer scale and is mainly used in the field of ophthalmology for diagnosis as well as monitoring of eye diseases. Also in other areas, such as dermatology, OCT is already well established. Due to its non-invasive nature, OCT is also employed for research studies involving animal models. Manual evaluation of OCT images of animal models is a challenging task due to the lack of imaging standards and the varying anatomy among models. In this paper, we present a deep learning algorithm for the automatic segmentation of several layers of mouse skin in OCT image data using a deep convolutional neural network (CNN). The architecture of our CNN is based on the U-net and is modified by densely connected convolutions. We compared our adapted CNN with our previous algorithm, a combination of a random forest classification and a graph-based refinement, and a baseline U-net. The results showed that, on average, our proposed CNN outperformed our previous algorithm and the baseline U-net. In addition, a reduction of outliers could be observed through the use of densely connected convolutions.