Howdy
I see you are building a GUI.
With GUI, I tend to make classes or methods per component chunk. For example, menu bar can be in its own class with the menu items and stuff. The panels (depending on how complex you need) can be in their own classes. Even those action listeners can be in their own classes especially if they can be reuse.
However, you currently have most of the code in your constructor. Try separating the section of code by components and group these lines into a separate method/class. Then your constructor would look a bit neater.
Also even the main window (the class extends JFrame) can be on its own. This way your main method will just have 1 line eg new MyMainWindow();