I use H2 database for a desktop application in embedded mode. When I compress the application into jar file the database file is omitted. So, when I run MyApplication.jar no
If you are using Maven to build your project, just use maven-shade-plugin... great results and control, I've been using it a lot.
For embedding all your dependencies you would write something like:
org.apache.maven.plugins
maven-shade-plugin
1.4
package
shade
Then with just a normal "mvn package" you'll have all your dependencies' jars included in your application jar.
With further configuration you can control what gets included and what not.