Deep Learning has become a very promising avenue for magnetic resonance image~(MRI) reconstruction. In this work, we explore the potential of unrolled networks for non-Cartesian acquisition settings. We design the NC-PDNet (Non-Cartesian Primal Dual Network), the first density-compensated (DCp) unrolled neural network, and validate the need for its key components via an ablation study. Moreover, we conduct some generalizability experiments to test this network in out-of-distribution settings, for example training on knee data and validating on brain data. The results show that NC-PDNet outperforms baseline (U-Net, Deep image prior) models both visually and quantitatively in all settings. In particular, in the 2D multi-coil acquisition scenario, the NC-PDNet provides up to a 1.2dB improvement in peak signal-to-noise ratio (PSNR) over baseline networks, while also allowing a gain of at least 1dB in PSNR in generalization settings. We provide the open-source implementation of NC-PDNet, and in particular the Non-uniform Fourier Transform in TensorFlow, tested on 2D multi-coil and 3D single-coil k-space data.