In that application they are sometimes referred to as a "common mode choke".
A switchmode powersupply is inherently noisy in a electrical sense. Due to the high frequency oscillator used to do the switching, high frequency noise can be conducted out of the PSU and cause wideband interference to radios around the power supply.
Those chokes, which can be on the input and the output of the PSU are intened to keep the electrical noise inside the power supply where it will not cause any problems.
JimB