It should be easy enough to trouble shoot it just the with scope's GND on the generators GND, the +Ve sine peaks should be on the +Ve bridge output and the -Ve sine peaks on it's -Ve output. Simples!
Connect both the scope and signal gen ground together, directly (I suppose), and then?
Edit: I connected both together, and when I do neither of the bridge rectifier outputs produce any signal (0V DC).
If I keep the circuit as in the breadboard picture, and red wire to probe black to scope gnd, then I get V(br+), if I connect the black wire to the scope probe, and the red to scope gnd, then I get V(br-).
Not sure what conclusions to draw from that though...