I can't tell what voltage the AC source is on the left, but there will be a 2 * diode drop in the bridge rectifier. This may not be leaving enough voltage for the regulator.
The bridge rectifier you have drawn does not match the one on the page I linked to. Take another look over it and move the top transformer lead to the correct place. You might like to visualise the output from the bridge rectifier before and after and see what changes.
Please advise work frequency and input voltage and current/output current, then know how to select or design the transformer, if it is 50/60Hz, it is lower frequency and lamination transformer, select configuration depend on power.
If is more than 10K, it is high freqnency transformer, select ferrit core, which is power core,core size depend on power.