Solution 1:

Several things:

  1. There are four rules to follow with SwingWorker. You can refer to this diagram: enter image description here.

So, this code:

@Override
public String doInBackground() {
    //download here
    label.setText("test");

violates that rule. Your label.setText() should be moved to the constructor.

  1. To send "updates" to Swing components (like your progress bar) you want to use the process() method, which you invoke using publish() from inside your doInBackground(). Your second SwingWorker parameter reflects the type of value you want to pass. I've attached two SSCCEs. One passes an Integer to the process() method, the other passes a String. Should give you an idea of what's going on.

SSCCE using Integer:

import java.util.List;
import java.util.concurrent.ExecutionException;
import javax.swing.JFrame;
import javax.swing.JLabel;
import javax.swing.JOptionPane;
import javax.swing.JPanel;
import javax.swing.JProgressBar;
import javax.swing.SwingUtilities;
import javax.swing.SwingWorker;

/**
 *
 * @author Ryan
 */
public class Test {

    public static void main(String args[]) {
        SwingUtilities.invokeLater(new Runnable() {
            @Override
            public void run() {
                go();
            }
        });
    }

    public static void go() {
        JFrame frame = new JFrame();
        JPanel panel = new JPanel();
        JLabel label = new JLabel("Loading...");
        JProgressBar jpb = new JProgressBar();
        jpb.setIndeterminate(false);
        int max = 1000;
        jpb.setMaximum(max);
        panel.add(label);
        panel.add(jpb);
        frame.add(panel);
        frame.pack();
        frame.setSize(200,90);
        frame.setLocationRelativeTo(null);
        frame.setVisible(true);
        frame.setDefaultCloseOperation(JFrame.EXIT_ON_CLOSE);
        new Task_IntegerUpdate(jpb, max, label).execute();

    }

    static class Task_IntegerUpdate extends SwingWorker<Void, Integer> {

        JProgressBar jpb;
        int max;
        JLabel label;
        public Task_IntegerUpdate(JProgressBar jpb, int max, JLabel label) {
            this.jpb = jpb;
            this.max = max;
            this.label = label;
        }

        @Override
        protected void process(List<Integer> chunks) {
            int i = chunks.get(chunks.size()-1);
            jpb.setValue(i); // The last value in this array is all we care about.
            System.out.println(i);
            label.setText("Loading " + i + " of " + max);
        }

        @Override
        protected Void doInBackground() throws Exception {
            for(int i = 0; i < max; i++) {
                Thread.sleep(10); // Illustrating long-running code.
                publish(i);
            }
            return null;
        }

        @Override
        protected void done() {
            try {
                get();
                JOptionPane.showMessageDialog(jpb.getParent(), "Success", "Success", JOptionPane.INFORMATION_MESSAGE);
            } catch (ExecutionException | InterruptedException e) {
                e.printStackTrace();
            }
        }
    }   
}

SSCCE using String:

import java.util.List;
import java.util.concurrent.ExecutionException;
import javax.swing.JFrame;
import javax.swing.JLabel;
import javax.swing.JOptionPane;
import javax.swing.JPanel;
import javax.swing.JProgressBar;
import javax.swing.SwingUtilities;
import javax.swing.SwingWorker;

/**
 *
 * @author Ryan
 */
public class Test2 {

    public static void main(String args[]) {
        SwingUtilities.invokeLater(new Runnable() {
            @Override
            public void run() {
                go();
            }
        });
    }

    public static void go() {
        JFrame frame = new JFrame();
        JPanel panel = new JPanel();
        JLabel label = new JLabel("Loading...");
        JProgressBar jpb = new JProgressBar();
        jpb.setIndeterminate(true);
        panel.add(label);
        panel.add(jpb);
        frame.add(panel);
        frame.pack();
        frame.setSize(200,90);
        frame.setLocationRelativeTo(null);
        frame.setVisible(true);
        frame.setDefaultCloseOperation(JFrame.EXIT_ON_CLOSE);
        new Task_StringUpdate(label).execute();
    }

    static class Task_StringUpdate extends SwingWorker<Void, String> {

        JLabel jlabel;
        public Task_StringUpdate(JLabel jlabel) {
            this.jlabel = jlabel;
        }

        @Override
        protected void process(List<String> chunks) {
            jlabel.setText(chunks.get(chunks.size()-1)); // The last value in this array is all we care about.
            System.out.println(chunks.get(chunks.size()-1));
        }

        @Override
        protected Void doInBackground() throws Exception {

            publish("Loading Step 1...");
            Thread.sleep(1000);
            publish("Loading Step 2...");
            Thread.sleep(1000);
            publish("Loading Step 3...");
            Thread.sleep(1000);
            publish("Loading Step 4...");
            Thread.sleep(1000);

            return null;
        }

        @Override
        protected void done() {
            try {
                get();
                JOptionPane.showMessageDialog(jlabel.getParent(), "Success", "Success", JOptionPane.INFORMATION_MESSAGE);
            } catch (ExecutionException | InterruptedException e) {
                e.printStackTrace();
            }
        }
    }
}