Simple current transformer strange waveforms
I'm measuring waveform on It's original primary side, loaded with 9kOhm
resistor (two 18k in parrallel).

Here's one big problem; you need to use much, much smaller values for the load resistor - it's called a burden resistor (when attached to a CT) and it MUST be low for a CT to work correctly. Try something like 10 Ω and re-measure the voltage waveform produced.
It's called a current transformer for a very good reason; current in produces current out and ideally, the output works best into a short but low value resistors are tolerated but, the core will saturate easily if the resistor is too high in value for a given input current.
Note also that the current waveform taken by a typical SMPS is going to be quite messy with lots of high frequencies and, unless you know the SMPS to be power factor corrected, you can't rely on it taking a stable sinewave-ish current.

When I connect it with 100W 240V light bulb (incandescent) - the
output sine wave is perfect.

Well, you possibly got lucky in that the core didn't badly saturate without a low enough value of burden resistor.