Cara o problema do GridLayout é que todas as células terão o mesmo tamanho … por isso que seus labels estão bem longe do textfields…
Eu ainda acho que vc deveria utilizar o GridBagLayout
Fiz um exemplo com GridBagLayout … postei a imagem de modo que vc possa ver as colunas e como ficam os componentes dispostos nelas.
Segue o código de exemplo do formulário com o GridBagLayout
private JPanel getJContentPane() {
if (jContentPane == null) {
GridBagConstraints gridBagConstraints61 = new GridBagConstraints();
gridBagConstraints61.fill = GridBagConstraints.NONE;
gridBagConstraints61.gridy = 8;
gridBagConstraints61.weightx = 0.0;
gridBagConstraints61.anchor = GridBagConstraints.NORTHWEST;
gridBagConstraints61.insets = new Insets(8, 5, 0, 0);
gridBagConstraints61.weighty = 1.0;
gridBagConstraints61.gridx = 1;
GridBagConstraints gridBagConstraints51 = new GridBagConstraints();
gridBagConstraints51.fill = GridBagConstraints.HORIZONTAL;
gridBagConstraints51.gridy = 7;
gridBagConstraints51.weightx = 0.0;
gridBagConstraints51.anchor = GridBagConstraints.WEST;
gridBagConstraints51.insets = new Insets(8, 5, 0, 0);
gridBagConstraints51.weighty = 0.0;
gridBagConstraints51.gridx = 1;
GridBagConstraints gridBagConstraints41 = new GridBagConstraints();
gridBagConstraints41.fill = GridBagConstraints.BOTH;
gridBagConstraints41.gridy = 6;
gridBagConstraints41.weightx = 0.0;
gridBagConstraints41.gridwidth = 2;
gridBagConstraints41.insets = new Insets(8, 5, 0, 0);
gridBagConstraints41.weighty = 0.0;
gridBagConstraints41.gridx = 1;
GridBagConstraints gridBagConstraints31 = new GridBagConstraints();
gridBagConstraints31.fill = GridBagConstraints.HORIZONTAL;
gridBagConstraints31.gridy = 5;
gridBagConstraints31.weightx = 0.0;
gridBagConstraints31.insets = new Insets(8, 5, 0, 0);
gridBagConstraints31.anchor = GridBagConstraints.WEST;
gridBagConstraints31.gridwidth = 2;
gridBagConstraints31.weighty = 0.0;
gridBagConstraints31.gridx = 1;
GridBagConstraints gridBagConstraints21 = new GridBagConstraints();
gridBagConstraints21.fill = GridBagConstraints.HORIZONTAL;
gridBagConstraints21.gridy = 3;
gridBagConstraints21.weightx = 1.0;
gridBagConstraints21.insets = new Insets(8, 5, 0, 5);
gridBagConstraints21.gridwidth = 3;
gridBagConstraints21.weighty = 0.0;
gridBagConstraints21.gridx = 1;
GridBagConstraints gridBagConstraints14 = new GridBagConstraints();
gridBagConstraints14.fill = GridBagConstraints.HORIZONTAL;
gridBagConstraints14.gridy = 4;
gridBagConstraints14.weightx = 1.0;
gridBagConstraints14.insets = new Insets(8, 5, 0, 5);
gridBagConstraints14.anchor = GridBagConstraints.WEST;
gridBagConstraints14.weighty = 0.0;
gridBagConstraints14.gridx = 3;
GridBagConstraints gridBagConstraints13 = new GridBagConstraints();
gridBagConstraints13.gridx = 2;
gridBagConstraints13.insets = new Insets(8, 5, 0, 0);
gridBagConstraints13.weighty = 0.0;
gridBagConstraints13.gridy = 4;
jLabelComplemento = new JLabel();
jLabelComplemento.setText("Complemento");
GridBagConstraints gridBagConstraints12 = new GridBagConstraints();
gridBagConstraints12.fill = GridBagConstraints.NONE;
gridBagConstraints12.gridy = 4;
gridBagConstraints12.weightx = 0.0;
gridBagConstraints12.anchor = GridBagConstraints.WEST;
gridBagConstraints12.insets = new Insets(8, 5, 0, 0);
gridBagConstraints12.weighty = 0.0;
gridBagConstraints12.gridx = 1;
GridBagConstraints gridBagConstraints11 = new GridBagConstraints();
gridBagConstraints11.fill = GridBagConstraints.NONE;
gridBagConstraints11.gridy = 2;
gridBagConstraints11.weightx = 0.0;
gridBagConstraints11.anchor = GridBagConstraints.WEST;
gridBagConstraints11.insets = new Insets(8, 5, 0, 0);
gridBagConstraints11.weighty = 0.0;
gridBagConstraints11.gridx = 1;
GridBagConstraints gridBagConstraints10 = new GridBagConstraints();
gridBagConstraints10.fill = GridBagConstraints.HORIZONTAL;
gridBagConstraints10.gridy = 1;
gridBagConstraints10.weightx = 0.0;
gridBagConstraints10.gridwidth = 3;
gridBagConstraints10.insets = new Insets(8, 5, 0, 5);
gridBagConstraints10.weighty = 0.0;
gridBagConstraints10.gridx = 1;
GridBagConstraints gridBagConstraints9 = new GridBagConstraints();
gridBagConstraints9.fill = GridBagConstraints.NONE;
gridBagConstraints9.gridy = 0;
gridBagConstraints9.weightx = 0.0;
gridBagConstraints9.insets = new Insets(15, 5, 0, 0);
gridBagConstraints9.anchor = GridBagConstraints.WEST;
gridBagConstraints9.gridx = 1;
GridBagConstraints gridBagConstraints8 = new GridBagConstraints();
gridBagConstraints8.gridx = 0;
gridBagConstraints8.anchor = GridBagConstraints.NORTHEAST;
gridBagConstraints8.insets = new Insets(8, 5, 0, 0);
gridBagConstraints8.weighty = 0.0;
gridBagConstraints8.gridy = 8;
jLabelEstado = new JLabel();
jLabelEstado.setText("Estado");
GridBagConstraints gridBagConstraints7 = new GridBagConstraints();
gridBagConstraints7.gridx = 0;
gridBagConstraints7.anchor = GridBagConstraints.EAST;
gridBagConstraints7.insets = new Insets(8, 5, 0, 0);
gridBagConstraints7.weighty = 0.0;
gridBagConstraints7.gridy = 7;
jLabelCep = new JLabel();
jLabelCep.setText("CEP");
GridBagConstraints gridBagConstraints6 = new GridBagConstraints();
gridBagConstraints6.gridx = 0;
gridBagConstraints6.anchor = GridBagConstraints.EAST;
gridBagConstraints6.insets = new Insets(8, 5, 0, 0);
gridBagConstraints6.weighty = 0.0;
gridBagConstraints6.gridy = 6;
jLabelCidade = new JLabel();
jLabelCidade.setText("Cidade");
GridBagConstraints gridBagConstraints5 = new GridBagConstraints();
gridBagConstraints5.gridx = 0;
gridBagConstraints5.anchor = GridBagConstraints.EAST;
gridBagConstraints5.insets = new Insets(8, 5, 0, 0);
gridBagConstraints5.weighty = 0.0;
gridBagConstraints5.gridy = 5;
jLabelBairro = new JLabel();
jLabelBairro.setText("Bairro");
GridBagConstraints gridBagConstraints4 = new GridBagConstraints();
gridBagConstraints4.gridx = 0;
gridBagConstraints4.anchor = GridBagConstraints.EAST;
gridBagConstraints4.insets = new Insets(8, 5, 0, 0);
gridBagConstraints4.weighty = 0.0;
gridBagConstraints4.gridy = 4;
jLabelNum = new JLabel();
jLabelNum.setText("Número");
GridBagConstraints gridBagConstraints3 = new GridBagConstraints();
gridBagConstraints3.gridx = 0;
gridBagConstraints3.anchor = GridBagConstraints.EAST;
gridBagConstraints3.insets = new Insets(8, 5, 0, 0);
gridBagConstraints3.weighty = 0.0;
gridBagConstraints3.gridy = 3;
jLabelEndereco = new JLabel();
jLabelEndereco.setText("Endereço");
GridBagConstraints gridBagConstraints2 = new GridBagConstraints();
gridBagConstraints2.gridx = 0;
gridBagConstraints2.anchor = GridBagConstraints.EAST;
gridBagConstraints2.insets = new Insets(8, 5, 0, 0);
gridBagConstraints2.weighty = 0.0;
gridBagConstraints2.gridy = 2;
jLabelCPF = new JLabel();
jLabelCPF.setText("CPF/CNPJ");
GridBagConstraints gridBagConstraints1 = new GridBagConstraints();
gridBagConstraints1.gridx = 0;
gridBagConstraints1.anchor = GridBagConstraints.EAST;
gridBagConstraints1.insets = new Insets(8, 5, 0, 0);
gridBagConstraints1.weighty = 0.0;
gridBagConstraints1.gridy = 1;
jLabelCliente = new JLabel();
jLabelCliente.setText("Cliente");
GridBagConstraints gridBagConstraints = new GridBagConstraints();
gridBagConstraints.gridx = 0;
gridBagConstraints.anchor = GridBagConstraints.EAST;
gridBagConstraints.insets = new Insets(15, 5, 0, 0);
gridBagConstraints.gridy = 0;
jLabelCOdigo = new JLabel();
jLabelCOdigo.setText("Codigo");
jContentPane = new JPanel();
jContentPane.setLayout(new GridBagLayout());
jContentPane.add(jLabelCOdigo, gridBagConstraints);
jContentPane.add(jLabelCliente, gridBagConstraints1);
jContentPane.add(jLabelCPF, gridBagConstraints2);
jContentPane.add(jLabelEndereco, gridBagConstraints3);
jContentPane.add(jLabelNum, gridBagConstraints4);
jContentPane.add(jLabelBairro, gridBagConstraints5);
jContentPane.add(jLabelCidade, gridBagConstraints6);
jContentPane.add(jLabelCep, gridBagConstraints7);
jContentPane.add(jLabelEstado, gridBagConstraints8);
jContentPane.add(getJTextFieldCodigo(), gridBagConstraints9);
jContentPane.add(getJTextFieldCliente(), gridBagConstraints10);
jContentPane.add(getJTextFieldCpf(), gridBagConstraints11);
jContentPane.add(getJTextFieldNum(), gridBagConstraints12);
jContentPane.add(jLabelComplemento, gridBagConstraints13);
jContentPane.add(getJTextFieldComp(), gridBagConstraints14);
jContentPane.add(getJTextFieldEndereco(), gridBagConstraints21);
jContentPane.add(getJTextFieldBairro(), gridBagConstraints31);
jContentPane.add(getJTextFieldCidade(), gridBagConstraints41);
jContentPane.add(getJTextFieldCep(), gridBagConstraints51);
jContentPane.add(getJTextFieldEstado(), gridBagConstraints61);
}
return jContentPane;
}