Volumetric analysis of brain ventricle (BV) structure is a key tool in the study of central nervous system development in embryonic mice. High-frequency ultrasound (HFU) is the only non-invasive, real-time modality available for rapid volumetric imaging of embryos in utero. However, manual segmentation of the BV from HFU volumes is tedious, time-consuming, and requires specialized expertise. In this paper, we propose a novel deep learning based BV segmentation system for whole-body HFU images of mouse embryos. Our fully automated system consists of two modules: localization and segmentation. It first applies a volumetric convolutional neural network on a 3D sliding window over the entire volume to identify a 3D bounding box containing the entire BV. It then employs a fully convolutional network to segment the detected bounding box into BV and background. The system achieves a Dice Similarity Coefficient (DSC) of 0.8956 for BV segmentation on an unseen 111 HFU volume test set surpassing the previous state-of-the-art method (DSC of 0.7119) by a margin of 25%.