I want to develop a Spring MVC web application that use a private Ethereum network and I feel confused witch API to use Ethereumj or Web3j. I'd like to know the difference between them and how to connect my local blockchain.
You should choose Web3j. Because, you want to create application that uses blockchain, being its client.
According official docs:
Web3j - is a client library.
EthereumJ - is the blockchain node itself