I assume you mean 0-500KHz, not 500KHz tone or 500KHz square wave.
Have you factored load capacitance into your requirement?, i=C.dV/dT means you need about 250mA to charge and discharge 50pF of capacitance at 2Kv 500KHz.
I searched with google for a few minutes and found amps that can supply 300watt or more but don't have a high enough frequency response.
The **broken link removed** has the frequency response but not the power (40watt at 500KHz). Acording to **broken link removed** it's possible to use two amps and a transformer to get more power.
If you are going to make one then if you make an amp with transistors or IC's you are going to have to make a medium voltage high current amp and use an output transformer to get 2KV. Obvioulsy that won't work down to DC and operation at lower frequencys means a bigger transformer.
I wonder if it would be possible to use a push pull pair of thermionic valves with a hihg voltage power supply to avoid neededing an ouput transformer?