Laboratory power supply has a Current Limit Adjustment Potentiometer.
It sets the output current in constant-current mode.
If the output current is set to “near” zero the effect will be exactly what you have experienced: as soon as you connect any load the voltage drops to almost “0” and the current doesn’t flow.
Try to turn the knob of the Current Limit Adjustment Potentiometer to the right ..
(This is valid only if your power supply is not faulty)
It happens when to try to connect a load that draws more current than that could be supplied by the power supply.
Either try increasing the current limit set on your power supply or connect a load thta draws lesser current