No sé por qué alguien le daría a las soluciones con archivos de iconos png adicional, mientras que la API de Java da una gran funcionalidad para anular método paintIcon (..).
La mejor solución ligera para recordar el estado CheckBox es la OMI ClientProperty atributo.

/*
* Tri-state checkbox example
* @s1w_
*/
import javax.swing.*;
import java.awt.*;
import java.awt.event.*;
class TCheckBox extends JCheckBox implements Icon, ActionListener {
final static boolean MIDasSELECTED = true; //consider mid-state as selected ?
public TCheckBox() { this(""); }
public TCheckBox(String text) {
super(text);
putClientProperty("SelectionState", 0);
setIcon(this);
addActionListener(this);
}
public TCheckBox(String text, int sel) {
/* tri-state checkbox has 3 selection states:
* 0 unselected
* 1 mid-state selection
* 2 fully selected
*/
super(text, sel > 1 ? true : false);
switch (sel) {
case 2: setSelected(true);
case 1:
case 0:
putClientProperty("SelectionState", sel);
break;
default:
throw new IllegalArgumentException();
}
addActionListener(this);
setIcon(this);
}
@Override
public boolean isSelected() {
if (MIDasSELECTED && (getSelectionState() > 0)) return true;
else return super.isSelected();
}
public int getSelectionState() {
return (getClientProperty("SelectionState") != null ? (int)getClientProperty("SelectionState") :
super.isSelected() ? 2 :
0);
}
public void setSelectionState(int sel) {
switch (sel) {
case 2: setSelected(true);
break;
case 1:
case 0: setSelected(false);
break;
default: throw new IllegalArgumentException();
}
putClientProperty("SelectionState", sel);
}
final static Icon icon = UIManager.getIcon("CheckBox.icon");
@Override
public void paintIcon(Component c, Graphics g, int x, int y) {
icon.paintIcon(c, g, x, y);
if (getSelectionState() != 1) return;
int w = getIconWidth();
int h = getIconHeight();
g.setColor(c.isEnabled() ? new Color(51, 51, 51) : new Color(122, 138, 153));
g.fillRect(x+4, y+4, w-8, h-8);
if (!c.isEnabled()) return;
g.setColor(new Color(81, 81, 81));
g.drawRect(x+4, y+4, w-9, h-9);
}
@Override
public int getIconWidth() {
return icon.getIconWidth();
}
@Override
public int getIconHeight() {
return icon.getIconHeight();
}
public void actionPerformed(ActionEvent e) {
TCheckBox tcb = (TCheckBox)e.getSource();
if (tcb.getSelectionState() == 0)
tcb.setSelected(false);
tcb.putClientProperty("SelectionState", tcb.getSelectionState() == 2 ? 0 :
tcb.getSelectionState() + 1);
// test
System.out.println(">>>>IS SELECTED: "+tcb.isSelected());
System.out.println(">>>>IN MID STATE: "+(tcb.getSelectionState()==1));
}
}
uso: TCheckBox tcb = new TCheckBox("My CheckBox");