What are the settings on your PicoScope?
Every oscilloscope that I have ever used has a switch, either a physical switch or a software setting, called “coupling” with two settings, “a.c.” or “d.c”. The purpose of the “a.c” setting is to remove any d.c. component in the signal, while the “d.c” setting is to retain the d.c. component. I suspect your PicoScope is set to “a.c. coupled”.
As you have your circuit, you are short-circuiting part of the rectifier through the capacitor and the GND connection. You must use the two separate windings of the transformer. Use one to feed the rectifier and power supply regulator, and the second to measure the voltage.
Also, you do not have a reservoir capacitor to smooth the d.c. input to the regulator. Therefore, your regulator will not work properly.
You are not the first one to make this mistake. From time to time, someone invents a clever circuit that tries to “economise” and only use one transformer, but it is not possible to do it without a centre-tapped winding or an operational amplifier to isolate the voltage you are measuring from the power supply.
I can write a long explanation for you if you need it. If you want to see the problem, think of the bridge rectifier as two switches that alternately connect one end of the transformer winding to the rectifier input and to GND, then think what happens to your measuring circuit.