Type "X2" line filtering capacitor failing as short circuit
Going by the colour of the capacitors, they look like Rifa PME 271M types. If that is the case, they are well-known in vintage computer circles. The BBC Micro PSU was fitted with them (made 1981 or so) and they fail with a lot of smoke but no fire. The smell is characteristic, a sort of wood-smoke, bonfire smoke smell. The standard fix for the BBC Micro (and similar Acorn PSUs) is to replace them all with modern X-class equivalents.

In this forum post:

http://www.vintage-radio.net/forum/showthread.php?t=69128

There's some failure analysis, which suggests a mismatch between the capacitor itself and the epoxy coating. Rifa capacitors that have not yet failed usually have many tiny hairline cracks in the epoxy outer shell.

Do an image search for "Rifa PME271M" to see more examples of failed capacitors.