Oscilloscope ground clips sparks while connecting to power supply ground. I do understand The clip is connected to earth ground. But why does it not spark when I am powering a circuit of the supply?
Equipment with a 3 prong plug generally has a capacitor called a Y-cap connected between the metal frame (which should be tied to earth ground) and each side of the line.
This is in order to bypass high frequency EMI. It also allows a small leakage current to flow into the case.
If the case is actually grounded, no problem. If the 3rd prong of the plug is floating for some reason you will get a small spark when connecting the chassis to ground. So either your scope or the chassis of the power supply is not connected to earth ground.
Regulations concerning Y-caps ensure that there's not enough leakage for a severe electrical shock, but you can feel a tingle if you come between the two. In this situation a shorted Y-cap can be a big safety hazard, but fortunately these caps are designed not to fail short.