A high resistor bridge would be fine, no capacitors needed. Make sure the 1000:1 attenuator is built from high voltage resistors (such as these) to ensure that arcing doesn't occur and destroy the scope. (most 'run of time mill' probes are only good to values like 600 VDC or 1000 VDC, check yours).
The< problem that you might run into is the rise times might not be in the ns range because the parasitic inductance of the larger resistors is higher then something like an smt resistor. Using smaller attenuators would be better (like these 20 kV 1000:1 EBG resistors which tout a non-inductive design)
Another more expensive option would be to buy an HV probe for your scope instead of constructing something.
My intuition was way off.
I simulated resistors with leads, in my mind the inductance (I used 10 nH which would be in the range of a resistor with large leads) If there is inductance then it does create a pole and blocks high frequencies (vout1 has rolloff in the 1 kHz range). However with capacitance (just about everything has a few pF between it, the inductance does not matter and you should not have a problem with a resistor attenuation.
Apologize for the confusion