Your second FXML file is missing the fx:controller attribute. Therefore, when you load it, there is no controller, and so loader.getController() returns null.
Consequently, when you call sn.setText(...), you get a null pointer exception.
Just add the missing fx:controller attribute to the second FXML file. Assuming that SecondController is in the application package, this will look like:
<?xml version="1.0" encoding="UTF-8"?>
<?import javafx.scene.layout.AnchorPane?>
<?import javafx.scene.control.Label?>
<AnchorPane prefHeight="450.0" prefWidth="650.0" fx:controller="application.SecondController" xmlns="http://javafx.com/javafx/8.0.141" xmlns:fx="http://javafx.com/fxml/1">
   <children>
      <Label fx:id="labelField" layoutX="297.0" layoutY="208.0" text="Label" />
   </children>
</AnchorPane>
Also note that it's very bad practice to silently "squash" exceptions, by using 
try {
    /* ... */
} catch (Exception e) { }
It's especially bad if the ensuing code depends on the code in the try block succeeding. In particular, in this case if your call to load() results in an exception (which may happen for a multitude of reasons, including  the FXML not being found or being invalid, the fx:id and field names, or types, 
not matching, method names for handlers not matching or having the wrong parameters, etc.), then the load method will silently fail and the controller will not be set in the loader. This will again result in sn being null.
Here's a complete example using your code, but with the other errors fixed as well as the missing fx:controller attribute inserted:
application/Main.java:
package application;
import javafx.application.Application;
import javafx.fxml.FXMLLoader;
import javafx.scene.Scene;
import javafx.stage.Stage;
public class Main extends Application {
    @Override
    public void start(Stage primaryStage) throws Exception {
        Scene scene = new Scene(FXMLLoader.load(getClass().getResource("First.fxml")));
        primaryStage.setScene(scene);
        primaryStage.show();
    }
    public static void main(String[] args) {
        launch(args);
    }
}
application/First.fxml:
<?xml version="1.0" encoding="UTF-8"?>
<?import javafx.scene.layout.AnchorPane?>
<?import javafx.scene.control.Button?>
<?import javafx.scene.control.TextField?>
<AnchorPane prefHeight="450.0" prefWidth="650.0" xmlns="http://javafx.com/javafx/8.0.141" xmlns:fx="http://javafx.com/fxml/1" fx:controller="application.FirstController">
   <children>
      <Button fx:id="btn" layoutX="285.0" layoutY="264.0" mnemonicParsing="false" onAction="#onClick" text="Button" />
      <TextField fx:id="textField" layoutX="237.0" layoutY="213.0" />
   </children>
</AnchorPane>
application/FirstController.java:
package application;
import java.net.URL;
import java.util.ResourceBundle;
import javafx.event.ActionEvent;
import javafx.fxml.FXML;
import javafx.fxml.FXMLLoader;
import javafx.fxml.Initializable;
import javafx.scene.Parent;
import javafx.scene.Scene;
import javafx.scene.control.Button;
import javafx.scene.control.TextField;
import javafx.stage.Stage;
public class FirstController implements Initializable {
    @FXML private TextField textField;
    @FXML private Button btn;
    @Override
    public void initialize(URL arg0, ResourceBundle arg1) {
        // TODO Auto-generated method stub
    }
    public void  onClick(ActionEvent event) throws Exception {
        //switching to new scene
        FXMLLoader loader=new FXMLLoader();
        loader.setLocation(getClass().getResource("/application/Second.fxml"));
        loader.load();
        SecondController sn=loader.getController();
        sn.setText(textField.getText());
        Parent p=loader.getRoot();  
        Stage window=new Stage();
        window.setScene(new Scene(p));
        window.setTitle("dfd");
        window.show();
    }
}
application/Second.fxml
<?xml version="1.0" encoding="UTF-8"?>
<?import javafx.scene.layout.AnchorPane?>
<?import javafx.scene.control.Label?>
<AnchorPane prefHeight="450.0" prefWidth="650.0" fx:controller="application.SecondController" xmlns="http://javafx.com/javafx/8.0.141" xmlns:fx="http://javafx.com/fxml/1">
   <children>
      <Label fx:id="labelField" layoutX="297.0" layoutY="208.0" text="Label" />
   </children>
</AnchorPane>
application/SecondController.java
package application;
import java.net.URL;
import java.util.ResourceBundle;
import javafx.fxml.FXML;
import javafx.fxml.Initializable;
import javafx.scene.control.Label;
public class SecondController implements Initializable {
    @FXML private Label labelField;
    @Override
    public void initialize(URL arg0, ResourceBundle arg1) {
        // TODO Auto-generated method stub  
    }
    public void setText(String name){
        this.labelField.setText(name);
    } 
}