SignLabel.java

import java.awt.event.MouseEvent;
import java.awt.event.MouseListener;
import javax.swing.JLabel;

public class SignLabel extends JLabel implements MouseListener {
    static boolean value = false;

    public SignLabel() {
        this.addMouseListener(this);
    }

    public void mouseClicked(MouseEvent e) {
        value = !value;
        if(getText().length() == 0){
          if(value){
            setText("X");
          }else{
            setText("O");
          }
        }
    }
    @Override
    public void mouseEntered(MouseEvent e) {
        // TODO Auto-generated method stub

    }
    @Override
    public void mouseExited(MouseEvent e) {
        // TODO Auto-generated method stub

    }
    @Override
    public void mousePressed(MouseEvent e) {
        // TODO Auto-generated method stub

    }
    @Override
    public void mouseReleased(MouseEvent e) {
        // TODO Auto-generated method stub

    }
}

TicTacToe.java

import java.awt.EventQueue;
import java.awt.GridLayout;
import javax.swing.JFrame;
import javax.swing.*;
import java.awt.*;

public class TicTacToe extends JFrame{
    JPanel p = new JPanel();
    SignLabel labels[]= new SignLabel[9];
    public TicTacToe() {
        super("TicTacToe");
        setDefaultCloseOperation(EXIT_ON_CLOSE);
        setSize(300,300);
        p.setLayout(new GridLayout(3, 3));
        for(int i=0;i<9;i++) {
            labels[i] = new SignLabel();
            labels[i].setBorder(BorderFactory.createLineBorder(Color.black));
            p.add(labels[i]);
        }
        add(p);
        setVisible(true);
    }
    public static void main(String[] args) {
        EventQueue.invokeLater(new Runnable() {
            @Override public void run() {
                TicTacToe t = new TicTacToe();
            }
        });
    }
}