Delete selected item from JList

The JList component is backed by a list model. So the only recommended way to remove an item from the list view is to delete it from the model (and refresh the view).

As @Andreas_D said, the data centered, more abstract ListModel is the solution. This can be a DefaultListModel. You should explicitly set the model in the JList. So (thanks to comment by @kleopatra):

DefaultListModel model = (DefaultListModel) jlist.getModel();
int selectedIndex = jlist.getSelectedIndex();
if (selectedIndex != -1) {
    model.remove(selectedIndex);
}

There are several remove... methods in DefaultListModel. By the way, this is a good question, as there is no immediate solution in the API (ListModel).