Bulk Capacitance and Inrush Current Limiting Diodes burn for PSU first stage
As rioraxe says, D2 and D4 are backwards, and you're trying to charge the bottom bank of capacitors with the wrong polarity. They don't like this, and they're passing a lot of current. The voltage you measure before the relay closes is the result of the voltage-divider action of the 47&Omega; resistance and the leakage through the capacitors. This voltage drops as the capacitors heat up and the leakage current increases.

Then, when you throw the relay, there is nothing to limit the current. Fortunately, the diodes burn up before the capacitors explode in your face.