So long as your transformer is a real linear transformer isolated from the mains, and there is no connection to earth GND anywhere in your illustrated connection, that exact circuit is safe.
If your power supply is a switching transformer which may have one of the source wires connected to earth GND, just like the GND pin on your scope's power plug, which makes connection to the GND on the scope probes, then you may potentially be sending +/-12v, thus high current into the GND clips of your scope.