Run poweresim to get a quick and dirty SMPS design, something like this:
The chokes and gate drive transformers should be off-the-shelf, but the main transformer is likely to be a custom part. You can wind one by hand on a suitable core to prototype this; then get someone like Coilcraft to make this custom part for you.
How this works: there is a L-C filter section that prevents the power supply from sending noise into the powerline, then a rectifier and storage capacitor. After that you have a half bridge with a pair of mosfets that drives a custom transformer at some fairly high frequency, say 50-100kHz. The transformer output is rectified and filtered again to produce the output. The output voltage is sensed by a resistive divider and the control IC generates signals to drive the mosfet gates, which are sent to the gates via gate drive transformers (and some extra circuitry). That's it :)
Safety note: most parts of this circuit will kill you if you touch them while it is powered on. The capacitors can kill you even after this is powered off. Put resistors across every capacitor calculated so the capacitor discharges itself over a few seconds through the resistor; to debug, turn off, wait five seconds, then work. I also like having several voltmeters connected across some of the key capacitors eg C10, C15, C7 so I know at a glance what voltage the circuit has in it. Hands off completely while it is on (this includes holding oscilloscope probes or touching knobs on the oscilloscope). Hook up oscilloscope, then step back, then turn on. Plugging this into a GFI socket (or power strip) is also a good idea, but don't count on that alone.
Suggestion: If you have never built a low-voltage SMPS before, a high-voltage SMPS is not a good place to start. Pick an off the shelf supply, even if it is expensive. I recommend TDK-Lambda GENH 300-2.5 (there certainly are other options). Unless you're planning to make many of these (100's) you likely won't save any money by trying to build a custom one.