Java Swing adding Action Listener for EXIT_ON_CLOSE

Try this.

    addWindowListener(new WindowAdapter()
        {
            @Override
            public void windowClosing(WindowEvent e)
            {
                System.out.println("Closed");
                e.getWindow().dispose();
            }
        });

Write this code within constructor of your JFrame:

this.setDefaultCloseOperation(JFrame.DO_NOTHING_ON_CLOSE);
this.addWindowListener(new java.awt.event.WindowAdapter() {
    @Override
    public void windowClosing(java.awt.event.WindowEvent e) {
        System.out.println("Uncomment following to open another window!");
        //MainPage m = new MainPage();
        //m.setVisible(true);
        e.getWindow().dispose();
        System.out.println("JFrame Closed!");
    }
});

Another possibility could be to override dispose() from the Window class. This reduces the number of messages sent around and also works if the default close operation is set to DISPOSE_ON_CLOSE.

Concretely this means adding

@Override
public void dispose() {
    System.out.println("Closed");
    super.dispose();
}

to your class MyGUI.

Note: don't forget to call super.dispose() as this releases the screen resources!