It has been shown recently that many non-convex objective/loss functions in machine learning are known to be strict saddle. This means that finding a second-order stationary point (i.e., approximate local minimum) and thus escaping saddle points are sufficient for such functions to obtain a classifier with good generalization performance. Existing algorithms for escaping saddle points, however, all fail to take into consideration a critical issue in their designs, that is, the protection of sensitive information in the training set. Models learned by such algorithms can often implicitly memorize the details of sensitive information, and thus offer opportunities for malicious parties to infer it from the learned models. In this paper, we investigate the problem of privately escaping saddle points and finding a second-order stationary point of the empirical risk of non-convex loss function. Previous result on this problem is mainly of theoretical importance and has several issues (e.g., high sample complexity and non-scalable) which hinder its applicability, especially, in big data. To deal with these issues, we propose in this paper a new method called Differentially Private Trust Region, and show that it outputs a second-order stationary point with high probability and less sample complexity, compared to the existing one. Moreover, we also provide a stochastic version of our method (along with some theoretical guarantees) to make it faster and more scalable. Experiments on benchmark datasets suggest that our methods are indeed more efficient and practical than the previous one.