Segmentation of carotid vessel wall is required in vessel wall volume (VWV) and local vessel-wall-plus-plaque thickness (VWT) quantification of the carotid artery. Manual segmentation of the vessel wall is time-consuming and prone to interobserver variability. In this paper, we proposed a convolutional neural network (CNN) to segment the common carotid artery (CCA) from 3D carotid ultrasound images. The proposed CNN involves three U-Nets that segmented the 3D ultrasound (3DUS) images in the axial, lateral and frontal orientations. The segmentation maps generated by three U-Nets were consolidated by a novel segmentation average network (SAN) we proposed in this paper. The experimental results show that the proposed CNN improved the segmentation accuracies. Compared to only using U-Net alone, the proposed CNN improved the Dice similarity coefficient (DSC) for vessel wall segmentation from 64.8% to 67.5%, the sensitivity from 63.8% to 70.5%, and the area under receiver operator characteristic curve (AUC) from 0.89 to 0.94.