I want to have words inside a Jlabel text that are clickable, and I want to register a MouseListener for each word or getting the clicked word (otherwise). The image below demonstrate what I want. Is this possible ?!

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No, you can only make the whole JLabel clickable. But you can put several JLabels next to each other of course, making only a few clickable (and different in appearance).
You could also use HTML, e.g. in a
JEditorPane, and make certain words clickable via HTML, if that suits your needs. I found something about that here, and this is how it could look like for you: