The problem is, you're trying to update the progress within the context of the Event Dispatching Thread.
This basically means that while you are in you loop, the EDT is unable to process any paint request you are making.
What you need to do is some how offload the work to a separate thread and update the progress bar as needed. The problem with this, is you should never update the UI from any thread other then the EDT.
But don't despair, you have a number of options, the best is using a Swing Worker
Updated with example

public class SwingWorkerProgress {
public static void main(String[] args) {
new SwingWorkerProgress();
}
public SwingWorkerProgress() {
EventQueue.invokeLater(new Runnable() {
@Override
public void run() {
try {
UIManager.setLookAndFeel(UIManager.getSystemLookAndFeelClassName());
} catch (ClassNotFoundException | InstantiationException | IllegalAccessException | UnsupportedLookAndFeelException ex) {
}
JFrame frame = new JFrame("Testing");
frame.setDefaultCloseOperation(JFrame.EXIT_ON_CLOSE);
frame.setLayout(new BorderLayout());
frame.add(new TestPane());
frame.pack();
frame.setLocationRelativeTo(null);
frame.setVisible(true);
}
});
}
public class TestPane extends JPanel {
private JProgressBar pbProgress;
private JButton start;
public TestPane() {
setBorder(new EmptyBorder(10, 10, 10, 10));
pbProgress = new JProgressBar();
setLayout(new GridBagLayout());
GridBagConstraints gbc = new GridBagConstraints();
gbc.insets = new Insets(4, 4, 4, 4);
gbc.gridx = 0;
gbc.gridy = 0;
add(pbProgress, gbc);
start = new JButton("Start");
gbc.gridy++;
add(start, gbc);
start.addActionListener(new ActionListener() {
@Override
public void actionPerformed(ActionEvent e) {
start.setEnabled(false);
ProgressWorker pw = new ProgressWorker();
pw.addPropertyChangeListener(new PropertyChangeListener() {
@Override
public void propertyChange(PropertyChangeEvent evt) {
String name = evt.getPropertyName();
if (name.equals("progress")) {
int progress = (int) evt.getNewValue();
pbProgress.setValue(progress);
repaint();
} else if (name.equals("state")) {
SwingWorker.StateValue state = (SwingWorker.StateValue) evt.getNewValue();
switch (state) {
case DONE:
start.setEnabled(true);
break;
}
}
}
});
pw.execute();
}
});
}
}
public class ProgressWorker extends SwingWorker<Object, Object> {
@Override
protected Object doInBackground() throws Exception {
int i = 0;
int max = 2000;
while (i < max) {
i += 10;
int progress = Math.round(((float)i / (float)max) * 100f);
setProgress(progress);
try {
Thread.sleep(25);
} catch (Exception e) {
e.printStackTrace();
}
}
return null;
}
}
}