Which specific ones did you buy?
Many of them will require a filter capacitor as well as the bridge rectifier to properly regulate, the DC in/out models don't provide sufficient filtering on the input side for rectified AC.
Of course, one thing to verify is if you're connecting the regulator correctly, the AC input goes to the ~ terminals, the +/- DC outputs should be wired to the proper input terminals of the converter board. The filter capacitor goes directly across the output of the bridge.
Another point, the output DC does NOT share a common with the input AC, if you connect the DC output to frame ground, that will certainly not work at a minimum and likely will kill the power supply.