Q:

How to discharge batteries using bench PSU?

I've heard that if you can have negative current in PSU, you can use that to discharge batteries. Is this true? 
If yes, how to design/modify a linear bench PSU (which have transformer with several secondaries) in a way that be able to discharge batteries?
What's the working principle of it, I have no idea where to start.

A:

In general this will not work.

simulate this circuit – Schematic created using CircuitLab
Figure 1. Really simplified schematics of (a) what you've got and (b) what you want.
Most bench power supplies are of the form of Figure 1a. They are designed to provide current, not sink it. The output stage will have beefy transistors from the positive power rail and these regulate the amount of current through them to maintain the required voltage at the output. If the output voltage is higher than the setpoint then Q1 will turn off. No current will flow back into the PSU unless you blow the output somehow.
How Figure 1a works:

V1 provides the raw DC. R1 provides a reference voltage between 0 and 30 V to the non-inverting amplifier input. The op-amp output will increase, turning on Q1 until the feedback to the inverting input equals the setpoint. There is no high-current discharge path to ground.

To do what you want would require something like Figure 1b.

This circuit will control the discharge current from the batteries. R3 is a current shunt and provides negative feedback in proportion to the battery discharge current. R2 provides the setpoint as before but since the feedback voltages will be low the reference voltage setpoint will need to be restricted by R4.

