There are a lot of people who will see your PhD as a black mark when it comes to software engineering. There is a belief that you are over-qualified (what ever that is supposed to mean). Whether it is a reasonable belief or not it exists so you will being trying to prove that you produce Quality Code and a Team Player (TM). Once you get your foot in the door, it should become easier.
There are also lots of places that are math PhD friendly :) Like the mathworks for example!
FTR, I have a PhD in applied math and have been a software engineer for about 8 years now. I got my foot in the door by working for free at a game company for a year. Not the way that I advise everyone to take ;) but I lucked out and learned a lot from the experience that it continues to influence my view on software, teams, and leadership to this day.