I suggest you calculate the surge current on power up and see if the Cap ESR causes the diodes to blow. If Cap ESR = 0.1 Ohm then diodes will see initially a short circuit with peak voltage turn on with ESR*C =T fo depending DF or ESR of cap. .
Use the biggest bridge or didoes you have since peak current will be 10x average for 10% Vripple.
Bridge Caps rectify peak voltage which is 1.414 * rms and with no conduction load loss of 10% typ, your noload Vout =1.5 Vrated rms with 40% ripple .
- but you have a large cap of 1mF which may have an ESR of 0.1 to 1 Ohm similar to the tiny diodes, which you may get from specs for rising V/I when saturated.
** The initial cap energy must be transfer on surge pulses and conducted with series losses. If initial condition is Vcap= 0 and transformer output is say 18Vp into diode bridge , what is your surge ? Vp=(18-2Vf(diode))/ESR (diodes+cap+xfmr)** This may in the 50A range for a 4A supply. 1/2CV^2 energy transferred =18V^2*1mF/2=162mW.
- compute your diode losses and cap losses or choose bigger diodes, lower Cap ESR and use a soft start ICL NTC inrush current limiter.
Then ensure your 0V meter reference is always on V-.