You have given very little info on the set up you are attempting; but anyway I think you should avoid connecting the 400V pulses directly to the scope input. You can set simple attenuators using voltage dividers (let's say by 1/100) to work with a safe voltage at the scope input and if required, you can switch those signals safer using low voltage devices. The scope will work nicely with 4V at the input. Maybe you should use opto-couplers to send the commands from Arduino to the switching devices if you choose solid state ones. In that way, Arduino will be safe in case of HV failure. I think, the switching freq you are using is too high for conventional coil relays.