I got this code witch creates a clickable grid that shows the mouse position, altough i am not able to get the position in the grid in where the mouse is clicked, trying to be both X and Y position. Any ideas?

Use b.setBorderPainted(false); (uncomment that code line) to get rid of the borders around each button. Look to the values passed to the constructor of the GridLayout to remove the space between buttons.

import javax.swing.*;
import javax.swing.border.EmptyBorder;
import java.awt.*;
import java.awt.event.ActionListener;
import java.awt.image.BufferedImage;

public class GameGridLayout {

    int size = 40;
    int iconSize = 10;
    JButton[][] buttonArray = new JButton[size][size];
    ActionListener actionListener;
    JLabel output = new JLabel("Click somewhere on the GUI");

    GameGridLayout() {
        JPanel gui = new JPanel(new BorderLayout(2,2));
        gui.setBorder(new EmptyBorder(4,4,4,4));
        gui.add(output,BorderLayout.PAGE_END);
        JPanel gameContainer = new JPanel(new GridLayout(0,size,2,2));
        gui.add(gameContainer);
        actionListener = e -> output.setText(getButtonRowCol((JButton)e.getSource()));
        for (int ii=0; ii<size*size; ii  ) {
            JButton b = getButton();
            gameContainer.add(b);
            buttonArray[ii%size][ii/size] = b;
        }
        JFrame f = new JFrame("GameGridLayout");
        f.add(gui);
        f.pack();
        f.setMinimumSize(f.getSize());
        f.setLocationByPlatform(true);
        f.setDefaultCloseOperation(JFrame.DISPOSE_ON_CLOSE);
        f.setVisible(true);
    }

    private String getButtonRowCol(JButton button) {
        StringBuilder sb = new StringBuilder();
        for (int xx=0; xx<size; xx  ) {
            for (int yy=0; yy<size; yy  ) {
                if (button.equals(buttonArray[xx][yy])) {
                    sb.append("User selected button at: ");
                    sb.append(xx 1);
                    sb.append(",");
                    sb.append(yy 1);
                    break;
                }
            }
        }
        return sb.toString();
    }

    private JButton getButton() {
        JButton b = new JButton();
        b.setIcon(new ImageIcon(
                new BufferedImage(iconSize,iconSize,BufferedImage.TYPE_INT_ARGB)));
        b.setRolloverIcon(new ImageIcon(
                new BufferedImage(iconSize,iconSize,BufferedImage.TYPE_INT_RGB)));
        b.setMargin(new Insets(0,0,0,0));
        //b.setBorderPainted(false);
        b.setContentAreaFilled(false);
        b.addActionListener(actionListener);
        return b;
    }

    public static void main(String[] args) {
        Runnable r = () -> new GameGridLayout();
        SwingUtilities.invokeLater(r);
    }
}