HF transformer fed fed diode rectifier not working
Well, obviously, the HV supply you've built can't source enough current!

Hence, the voltage drops as soon as you connect a load.

I don't know the specifications (winding thickness, winding count, core material, transformer topology) of your transformer, but that's where I'd start looking. 

Also, I don't know the effective resistance of your MOSFETs in ON state; you might also consider the fact that these device are frequency dependent, too!