You're using LM2596S-12 on schematic which makes it sound like it's a fixed output voltage 12v version, but it seems like it's for 5v because power goes to the Arduino.
But it also goes to the relays - G8N-1U is a 5.5v max part... don't know why you don't use 12v relays.
It's really debatable that you need a switching regulator to produce 5v, because that sensor HC-SR04 consumes maybe up to 15mA , the Arduino a few mA, and the leds connected to the Arduino maybe 7-10mA each (due to the two 330 ohm resistors) ... so I don't see your project needing more than 100mA on 5v (edit: if we don't include the relays) and in that case a linear regulator would be almost as efficient as that LM2596 regulator.
edit : if we include the relays, those probably consume around 40-50mA when engaged, so let's add another 100mA worst case scenario, so at most 200mA
12v - 5v at 100mA or so with a linear regulator will be around 40% efficiency, with LM2596 will be around 75% efficiency but at several times the cost.
If you want efficiency (90% and higher) get a better switcher IC that runs at higher frequencies and has inductors and everything "optimized" for 100-250mA.
TIP120 is a npn darlington transistor, 5A , with hFe minimum 1000mA ... it's overkill for a relay that consumes 50mA or so while turned on.
You could have easily used something like FCX491 (hFe 300+) or FMMT491 (hFe 100+) or even MMBT555x which has a hFe of around 50, and just use higher base current like 5mA or so, which is something Arduino can do, for example just go down to around 100-470 ohm instead of 1 kohm
Seems like you have plenty of pins on the atmega ... maybe it would be simpler and easier to just have one led per pin and if you want to lower power consumption you can always loop and pwm them to reduce power consumption.
I didn't check if you actually wired that LM2596s correctly - assume you're gonna buy one of those ready made units from ebay which will have fake / cloned chips and not proper lm2596s