Can I call methods in constructor in Java?

You can: this is what constructors are for. Also you make it clear that the object is never constructed in an unknown state (without configuration loaded).

You shouldn't: calling instance method in constructor is dangerous because the object is not yet fully initialized (this applies mainly to methods than can be overridden). Also complex processing in constructor is known to have a negative impact on testability.

Better design would be

public static YourObject getMyObject(File configFile){
    //process and create an object configure it and return it
}

• Factory design pattern