You need to declare style on DataGridRowHeader
:
<DataGrid>
<DataGrid.Resources>
<Style TargetType="DataGridRowHeader">
<EventSetter Event="MouseDoubleClick"
Handler="DataGridRow_MouseDoubleClick"/>
</Style>
</DataGrid.Resources>
</DataGrid>
In case you are talking about column header. Replace DataGridRowHeader
with DataGridColumnHeader
.